RiskFactorTenorSensitivity.java
- package org.drip.simm.product;
- /*
- * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
- */
- /*!
- * Copyright (C) 2020 Lakshmi Krishnamurthy
- * Copyright (C) 2019 Lakshmi Krishnamurthy
- * Copyright (C) 2018 Lakshmi Krishnamurthy
- *
- * This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
- * asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
- * analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
- * equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
- * numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
- * and computational support.
- *
- * https://lakshmidrip.github.io/DROP/
- *
- * DROP is composed of three modules:
- *
- * - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
- * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
- * - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
- *
- * DROP Product Core implements libraries for the following:
- * - Fixed Income Analytics
- * - Loan Analytics
- * - Transaction Cost Analytics
- *
- * DROP Portfolio Core implements libraries for the following:
- * - Asset Allocation Analytics
- * - Asset Liability Management Analytics
- * - Capital Estimation Analytics
- * - Exposure Analytics
- * - Margin Analytics
- * - XVA Analytics
- *
- * DROP Computational Core implements libraries for the following:
- * - Algorithm Support
- * - Computation Support
- * - Function Analysis
- * - Model Validation
- * - Numerical Analysis
- * - Numerical Optimizer
- * - Spline Builder
- * - Statistical Learning
- *
- * Documentation for DROP is Spread Over:
- *
- * - Main => https://lakshmidrip.github.io/DROP/
- * - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
- * - GitHub => https://github.com/lakshmiDRIP/DROP
- * - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
- * - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
- * - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
- * - Release Versions => https://lakshmidrip.github.io/DROP/version.html
- * - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
- * - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
- * - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
- * - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- *
- * You may obtain a copy of the License at
- * http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- *
- * See the License for the specific language governing permissions and
- * limitations under the License.
- */
- /**
- * <i>RiskFactorTenorSensitivity</i> holds the ISDA SIMM 2.0 Risk Factor Tenor Bucket Sensitivities. The
- * References are:
- *
- * <br><br>
- * <ul>
- * <li>
- * Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
- * Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
- * </li>
- * <li>
- * Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
- * Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
- * </li>
- * <li>
- * Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
- * Framework for Forecasting Initial Margin Requirements
- * https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
- * </li>
- * <li>
- * Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
- * Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
- * <b>eSSRN</b>
- * </li>
- * <li>
- * International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
- * https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
- * </li>
- * </ul>
- *
- * <br><br>
- * <ul>
- * <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
- * <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
- * <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/README.md">Initial Margin Analytics based on ISDA SIMM and its Variants</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/product/README.md">ISDA SIMM Risk Factor Sensitivities</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class RiskFactorTenorSensitivity
- {
- private java.util.Map<java.lang.String, java.lang.Double> _sensitivityMap = null;
- /**
- * RiskFactorTenorSensitivity Constructor
- *
- * @param sensitivityMap The Tenor Sensitivity Map
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public RiskFactorTenorSensitivity (
- java.util.Map<java.lang.String, java.lang.Double> sensitivityMap)
- throws java.lang.Exception
- {
- if (null == (_sensitivityMap = sensitivityMap) || 0 == _sensitivityMap.size())
- {
- throw new java.lang.Exception ("RiskFactorTenorSensitivity Constructor => Invalid Inputs");
- }
- }
- /**
- * Retrieve the Set of Tenors
- *
- * @return The Set of Tenors
- */
- public java.util.Set<java.lang.String> tenorSet()
- {
- return _sensitivityMap.keySet();
- }
- /**
- * Add the Tenor Sensitivity
- *
- * @param tenor The Tenor
- * @param sensitivity Sensitivity for the given Tenor
- *
- * @return TRUE - The Tenor Sensitivity successfully set
- */
- public boolean addTenorDelta (
- final java.lang.String tenor,
- final double sensitivity)
- {
- if (null == tenor || !org.drip.numerical.common.NumberUtil.IsValid (sensitivity))
- {
- return false;
- }
- _sensitivityMap.put (
- tenor,
- sensitivity
- );
- return true;
- }
- /**
- * Indicate of the Sensitivity exists for the specified Tenor
- *
- * @param tenor The Tenor
- *
- * @return TRUE - Sensitivity exists for the specified Tenor
- */
- public boolean tenorExists (
- final java.lang.String tenor)
- {
- return null != tenor && _sensitivityMap.containsKey (tenor);
- }
- /**
- * Retrieve the Sensitivity for the Bucket Tenor
- *
- * @param tenor The Tenor
- *
- * @return The Sensitivity corresponding to the Tenor
- *
- * @throws java.lang.Exception Thrown if the Input is Invalid
- */
- public double sensitivity (
- final java.lang.String tenor)
- throws java.lang.Exception
- {
- if (!tenorExists (tenor))
- {
- throw new java.lang.Exception ("RiskFactorTenorSensitivity::sensitivity => Invalid Inputs");
- }
- return _sensitivityMap.get (tenor);
- }
- /**
- * Retrieve the Map of Tenor Sensitivities
- *
- * @return The Map of Tenor Sensitivities
- */
- public java.util.Map<java.lang.String, java.lang.Double> sensitivityMap()
- {
- return _sensitivityMap;
- }
- /**
- * Generate the Cumulative Tenor Sensitivity
- *
- * @return The Cumulative Tenor Sensitivity
- */
- public double cumulative()
- {
- double cumulative = 0.;
- for (java.util.Map.Entry<java.lang.String, java.lang.Double> sensitivityEntry : _sensitivityMap.entrySet())
- {
- cumulative = cumulative + sensitivityEntry.getValue();
- }
- return cumulative;
- }
- /**
- * Generate the Tenor Sensitivity Margin Map
- *
- * @param sensitivityRiskWeightMap The Tenor Sensitivity Risk Weight Map
- *
- * @return The Tenor Sensitivity Margin Map
- */
- public java.util.Map<java.lang.String, java.lang.Double> sensitivityMargin (
- final java.util.Map<java.lang.String, java.lang.Double> sensitivityRiskWeightMap)
- {
- if (null == sensitivityRiskWeightMap || 0 == sensitivityRiskWeightMap.size())
- {
- return null;
- }
- java.util.Map<java.lang.String, java.lang.Double> sensitivityMargin = new
- java.util.HashMap<java.lang.String, java.lang.Double>();
- for (java.util.Map.Entry<java.lang.String, java.lang.Double> sensitivityEntry :
- _sensitivityMap.entrySet())
- {
- java.lang.String tenor = sensitivityEntry.getKey();
- if (!sensitivityRiskWeightMap.containsKey (tenor))
- {
- return null;
- }
- sensitivityMargin.put (
- tenor,
- sensitivityEntry.getValue() * sensitivityRiskWeightMap.get (tenor)
- );
- }
- return sensitivityMargin;
- }
- }