IRSettingsContainer20.java

package org.drip.simm.rates;

/*
 * -*- 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>IRSettingsContainer20</i> holds the ISDA SIMM 2.0 Tenor Vertex Risk Weights/Correlations for Single IR
 * Curves, Cross Currencies, and Inflation. 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/rates/README.md">SIMM IR Risk Factor Settings</a></li>
 *  </ul>
 * <br><br>
 * 
 * @author Lakshmi Krishnamurthy
 */

public class IRSettingsContainer20
{
    private static org.drip.simm.rates.IRWeight ZERO_RISK_WEIGHT = null;
    private static org.drip.measure.stochastic.LabelCorrelation s_SingleCurveTenorCorrelation = null;

    private static final java.util.Map<java.lang.String, org.drip.simm.rates.IRWeight> s_RiskWeightMap =
        new java.util.HashMap<java.lang.String, org.drip.simm.rates.IRWeight>();

    private static final boolean TenorCorrelation()
    {
        java.util.List<java.lang.String> tenorList = new java.util.ArrayList<java.lang.String>();

        tenorList.add ("2W");

        tenorList.add ("1M");

        tenorList.add ("3M");

        tenorList.add ("6M");

        tenorList.add ("1Y");

        tenorList.add ("2Y");

        tenorList.add ("3Y");

        tenorList.add ("5Y");

        tenorList.add ("10Y");

        tenorList.add ("15Y");

        tenorList.add ("20Y");

        tenorList.add ("30Y");

        try
        {
            s_SingleCurveTenorCorrelation = new org.drip.measure.stochastic.LabelCorrelation (
                tenorList,
                new double[][]
                {
                    {1.00, 0.99, 0.79, 0.67, 0.53, 0.42, 0.37, 0.30, 0.22, 0.18, 0.16, 0.12},
                    {0.99, 1.00, 0.79, 0.67, 0.53, 0.42, 0.37, 0.30, 0.22, 0.18, 0.16, 0.12},
                    {0.79, 0.79, 1.00, 0.85, 0.69, 0.57, 0.50, 0.42, 0.32, 0.25, 0.23, 0.20},
                    {0.67, 0.67, 0.85, 1.00, 0.86, 0.76, 0.69, 0.59, 0.47, 0.40, 0.37, 0.32},
                    {0.53, 0.53, 0.69, 0.86, 1.00, 0.93, 0.87, 0.77, 0.63, 0.57, 0.54, 0.50},
                    {0.42, 0.42, 0.57, 0.76, 0.93, 1.00, 0.98, 0.90, 0.77, 0.70, 0.67, 0.63},
                    {0.37, 0.37, 0.50, 0.69, 0.87, 0.98, 1.00, 0.96, 0.84, 0.78, 0.75, 0.71},
                    {0.30, 0.30, 0.42, 0.59, 0.77, 0.90, 0.96, 1.00, 0.93, 0.89, 0.86, 0.82},
                    {0.22, 0.22, 0.32, 0.47, 0.63, 0.77, 0.84, 0.93, 1.00, 0.98, 0.96, 0.94},
                    {0.18, 0.18, 0.25, 0.40, 0.57, 0.70, 0.78, 0.89, 0.98, 1.00, 0.99, 0.98},
                    {0.16, 0.16, 0.23, 0.37, 0.54, 0.67, 0.75, 0.86, 0.96, 0.99, 1.00, 0.99},
                    {0.12, 0.12, 0.20, 0.32, 0.50, 0.63, 0.71, 0.82, 0.94, 0.98, 0.99, 1.00}
                }
            );

            return true;
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return false;
    }

    /**
     * Initialize the Interest Rate Weight Specification Container
     * 
     * @return TRUE - The Interest Rate Weight Specification Container successfully initialized
     */

    public static final boolean Init()
    {
        org.drip.simm.rates.IRWeight lowVolatilityRiskWeight = null;
        org.drip.simm.rates.IRWeight highVolatilityRiskWeight = null;
        org.drip.simm.rates.IRWeight regularVolatilityRiskWeight = null;

        java.util.Map<java.lang.String, java.lang.Double> zeroIRWeight = new
            java.util.HashMap<java.lang.String, java.lang.Double>();

        java.util.Map<java.lang.String, java.lang.Double> tenorDeltaWeightLowVolatility = new
            java.util.HashMap<java.lang.String, java.lang.Double>();

        java.util.Map<java.lang.String, java.lang.Double> tenorDeltaWeightHighVolatility = new
            java.util.HashMap<java.lang.String, java.lang.Double>();

        java.util.Map<java.lang.String, java.lang.Double> tenorDeltaWeightRegularVolatility = new
            java.util.HashMap<java.lang.String, java.lang.Double>();

        java.util.Map<java.lang.String, java.lang.Double> tenorVegaRiskWeight = new
            java.util.HashMap<java.lang.String, java.lang.Double>();

        tenorVegaRiskWeight.put (
            "2W",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "1M",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "3M",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "6M",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "1Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "2Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "3Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "5Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "10Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "15Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "20Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorVegaRiskWeight.put (
            "30Y",
            org.drip.simm.rates.IRSystemics20.VEGA_RISK_WEIGHT
        );

        tenorDeltaWeightRegularVolatility.put (
            "2W",
            113.
        );

        tenorDeltaWeightRegularVolatility.put (
            "1M",
            113.
        );

        tenorDeltaWeightRegularVolatility.put (
            "3M",
            98.
        );

        tenorDeltaWeightRegularVolatility.put (
            "6M",
            69.
        );

        tenorDeltaWeightRegularVolatility.put (
            "1Y",
            56.
        );

        tenorDeltaWeightRegularVolatility.put (
            "2Y",
            52.
        );

        tenorDeltaWeightRegularVolatility.put (
            "3Y",
            51.
        );

        tenorDeltaWeightRegularVolatility.put (
            "5Y",
            51.
        );

        tenorDeltaWeightRegularVolatility.put (
            "10Y",
            51.
        );

        tenorDeltaWeightRegularVolatility.put (
            "15Y",
            53.
        );

        tenorDeltaWeightRegularVolatility.put (
            "20Y",
            56.
        );

        tenorDeltaWeightRegularVolatility.put (
            "30Y",
            64.
        );

        tenorDeltaWeightLowVolatility.put (
            "2W",
            21.
        );

        tenorDeltaWeightLowVolatility.put (
            "1M",
            21.
        );

        tenorDeltaWeightLowVolatility.put (
            "3M",
            10.
        );

        tenorDeltaWeightLowVolatility.put (
            "6M",
            11.
        );

        tenorDeltaWeightLowVolatility.put (
            "1Y",
            15.
        );

        tenorDeltaWeightLowVolatility.put (
            "2Y",
            20.
        );

        tenorDeltaWeightLowVolatility.put (
            "3Y",
            22.
        );

        tenorDeltaWeightLowVolatility.put (
            "5Y",
            21.
        );

        tenorDeltaWeightLowVolatility.put (
            "10Y",
            19.
        );

        tenorDeltaWeightLowVolatility.put (
            "15Y",
            20.
        );

        tenorDeltaWeightLowVolatility.put (
            "20Y",
            23.
        );

        tenorDeltaWeightLowVolatility.put (
            "30Y",
            27.
        );

        tenorDeltaWeightHighVolatility.put (
            "2W",
            93.
        );

        tenorDeltaWeightHighVolatility.put (
            "1M",
            93.
        );

        tenorDeltaWeightHighVolatility.put (
            "3M",
            90.
        );

        tenorDeltaWeightHighVolatility.put (
            "6M",
            94.
        );

        tenorDeltaWeightHighVolatility.put (
            "1Y",
            97.
        );

        tenorDeltaWeightHighVolatility.put (
            "2Y",
            103.
        );

        tenorDeltaWeightHighVolatility.put (
            "3Y",
            101.
        );

        tenorDeltaWeightHighVolatility.put (
            "5Y",
            103.
        );

        tenorDeltaWeightHighVolatility.put (
            "10Y",
            102.
        );

        tenorDeltaWeightHighVolatility.put (
            "15Y",
            101.
        );

        tenorDeltaWeightHighVolatility.put (
            "20Y",
            102.
        );

        tenorDeltaWeightHighVolatility.put (
            "30Y",
            101.
        );

        zeroIRWeight.put (
            "2W",
            0.
        );

        zeroIRWeight.put (
            "1M",
            0.
        );

        zeroIRWeight.put (
            "3M",
            0.
        );

        zeroIRWeight.put (
            "6M",
            0.
        );

        zeroIRWeight.put (
            "1Y",
            0.
        );

        zeroIRWeight.put (
            "2Y",
            0.
        );

        zeroIRWeight.put (
            "3Y",
            0.
        );

        zeroIRWeight.put (
            "5Y",
            0.
        );

        zeroIRWeight.put (
            "10Y",
            0.
        );

        zeroIRWeight.put (
            "15Y",
            0.
        );

        zeroIRWeight.put (
            "20Y",
            0.
        );

        zeroIRWeight.put (
            "30Y",
            0.
        );

        try
        {
            regularVolatilityRiskWeight = new org.drip.simm.rates.IRWeight (
                org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_REGULAR,
                tenorDeltaWeightRegularVolatility,
                tenorVegaRiskWeight
            );

            lowVolatilityRiskWeight = new org.drip.simm.rates.IRWeight (
                org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_LOW,
                tenorDeltaWeightLowVolatility,
                tenorVegaRiskWeight
            );

            highVolatilityRiskWeight = new org.drip.simm.rates.IRWeight (
                org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_HIGH,
                tenorDeltaWeightHighVolatility,
                tenorVegaRiskWeight
            );

            ZERO_RISK_WEIGHT = new org.drip.simm.rates.IRWeight (
                org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_NULL,
                zeroIRWeight,
                tenorVegaRiskWeight
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();

            return false;
        }

        s_RiskWeightMap.put (
            "AUD",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "CAD",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "CHF",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "DKK",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "EUR",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "GBP",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "HKD",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "JPY",
            lowVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "KRW",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "NOK",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "OTHER",
            highVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "USD",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "SEK",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "SGD",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "TWD",
            regularVolatilityRiskWeight
        );

        s_RiskWeightMap.put (
            "USD",
            regularVolatilityRiskWeight
        );

        return TenorCorrelation();
    }

    /**
     * Retrieve the Standard ISDA Rates Tenor Set
     * 
     * @return The Standard ISDA Rates Tenor Set
     */

    public static final java.util.Set<java.lang.String> TenorSet()
    {
        return s_RiskWeightMap.get ("USD").tenors();
    }

    /**
     * Indicate if the Sub-Curve is supported for the specified Currency
     * 
     * @param currency The Currency
     * @param subCurve The sub-Curve Type
     * 
     * @return TRUE - The Sub-Curve is supported for the specified Currency
     */

    public static final boolean SubCurveSupported (
        final java.lang.String currency,
        final java.lang.String subCurve)
    {
        if (null == currency || currency.isEmpty() || null == subCurve)
        {
            return false;
        }

        if (org.drip.simm.rates.IRSystemics.SUB_CURVE_OIS.equalsIgnoreCase (subCurve) ||
            org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_1M.equalsIgnoreCase (subCurve) ||
            org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_3M.equalsIgnoreCase (subCurve) ||
            org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_6M.equalsIgnoreCase (subCurve) ||
            org.drip.simm.rates.IRSystemics.SUB_CURVE_LIBOR_12M.equalsIgnoreCase (subCurve))
        {
            return true;
        }

        if (org.drip.simm.rates.IRSystemics.SUB_CURVE_PRIME.equalsIgnoreCase (subCurve) ||
            org.drip.simm.rates.IRSystemics.SUB_CURVE_MUNICIPAL.equalsIgnoreCase (subCurve))
        {
            return "USD".equalsIgnoreCase (currency);
        }

        return false;
    }

    /**
     * Retrieve the Set of all Available Currencies
     * 
     * @return The Set of all Available Currencies
     */

    public static final java.util.Set<java.lang.String> CurrencySet()
    {
        return s_RiskWeightMap.keySet();
    }

    /**
     * Retrieve the Set of Currencies for the specified Volatility Type
     * 
     * @param volatilityType The Volatility Type
     * 
     * @return The Set of Currencies for the specified Volatility Type
     */

    public static final java.util.Set<java.lang.String> VolatilityTypeCurrencySet (
        final java.lang.String volatilityType)
    {
        if (null == volatilityType || volatilityType.isEmpty())
        {
            return null;
        }

        java.util.Set<java.lang.String> currencySet = new java.util.HashSet<java.lang.String>();

        for (java.util.Map.Entry<java.lang.String, org.drip.simm.rates.IRWeight> irRiskWeightMapEntry :
            s_RiskWeightMap.entrySet())
        {
            if (irRiskWeightMapEntry.getValue().volatilityType().equalsIgnoreCase (volatilityType))
            {
                currencySet.add (irRiskWeightMapEntry.getKey());
            }
        }

        return currencySet;
    }

    /**
     * Retrieve the Regular Volatility Currency Set
     * 
     * @return The Regular Volatility Currency Set
     */

    public static final java.util.Set<java.lang.String> RegularVolatilityCurrencySet()
    {
        return VolatilityTypeCurrencySet (org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_REGULAR);
    }

    /**
     * Retrieve the Low Volatility Currency Set
     * 
     * @return The Low Volatility Currency Set
     */

    public static final java.util.Set<java.lang.String> LowVolatilityCurrencySet()
    {
        return VolatilityTypeCurrencySet (org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_LOW);
    }

    /**
     * Retrieve the High Volatility Currency Set
     * 
     * @return The High Volatility Currency Set
     */

    public static final java.util.Set<java.lang.String> HighVolatilityCurrencySet()
    {
        return VolatilityTypeCurrencySet (org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_HIGH);
    }

    /**
     * Indicate if the IR Risk Weight is available for the specified Currency
     * 
     * @param currency The Currency
     * 
     * @return TRUE - The IR Risk Weight is available for the specified Currency
     */

    public static final boolean ContainsRiskWeight (
        final java.lang.String currency)
    {
        return null != currency && !currency.isEmpty() && s_RiskWeightMap.containsKey (currency);
    }

    /**
     * Indicate if the IR Risk Weight is available for the specified Currency
     * 
     * @param currency The Currency
     * @param subCurve The sub-Curve Type
     * 
     * @return TRUE - The IR Risk Weight is available for the specified Currency
     */

    public static final boolean ContainsRiskWeight (
        final java.lang.String currency,
        final java.lang.String subCurve)
    {
        return SubCurveSupported (
            currency,
            subCurve
        ) && s_RiskWeightMap.containsKey (currency);
    }

    /**
     * Retrieve the IR Risk Weight for the specified Currency
     * 
     * @param currency The Currency
     * 
     * @return The IR Risk Weight for the specified Currency
     */

    public static final org.drip.simm.rates.IRWeight RiskWeight (
        final java.lang.String currency)
    {
        return ContainsRiskWeight (currency) ? s_RiskWeightMap.get (currency) : s_RiskWeightMap.get
            ("OTHER");
    }

    /**
     * Retrieve the IR Risk Weight for the specified Currency
     * 
     * @param currency The Currency
     * @param subCurve The sub-Curve Type
     * 
     * @return The IR Risk Weight for the specified Currency
     */

    public static final org.drip.simm.rates.IRWeight RiskWeight (
        final java.lang.String currency,
        final java.lang.String subCurve)
    {
        if (!SubCurveSupported (
            currency,
            subCurve
        ))
        {
            return ZERO_RISK_WEIGHT;
        }

        return ContainsRiskWeight (currency) ? s_RiskWeightMap.get (currency) : s_RiskWeightMap.get
            ("OTHER");
    }

    /**
     * Retrieve the Interest Rate Single Curve Tenor Correlation Instance
     * 
     * @return The Interest Rate Single Curve Tenor Correlation Instance
     */

    public static final org.drip.measure.stochastic.LabelCorrelation SingleCurveTenorCorrelation()
    {
        return s_SingleCurveTenorCorrelation;
    }

    /**
     * Retrieve the Interest Rate Risk Weight Term Structure based on the Volatility Type
     * 
     * @return The Interest Rate Risk Weight Term Structure based on the Volatility Type
     */

    public static final java.util.Map<java.lang.String, org.drip.simm.rates.IRWeight> RiskWeight()
    {
        return s_RiskWeightMap;
    }

    /**
     * Retrieve the Currency Pair Principal Co-variance Matrix
     * 
     * @param currency1 Currency #1
     * @param currency2 Currency #2
     * 
     * @return The Currency Pair Principal Co-variance Matrix
     */

    public static final org.drip.simm.foundation.RiskGroupPrincipalCovariance CurrencyPairPrincipalCovariance (
        final java.lang.String currency1,
        final java.lang.String currency2)
    {
        if (null == currency1 || currency1.isEmpty() ||
            null == currency2 || currency2.isEmpty())
        {
            return null;
        }

        org.drip.simm.rates.IRThreshold irThreshold1 = org.drip.simm.rates.IRThresholdContainer20.Threshold
            (currency1);

        org.drip.simm.rates.IRThreshold irThreshold2 = org.drip.simm.rates.IRThresholdContainer20.Threshold
            (currency2);

        if (null == irThreshold1 || null == irThreshold2)
        {
            return null;
        }

        return org.drip.simm.foundation.RiskGroupPrincipalCovariance.Standard (
            s_SingleCurveTenorCorrelation.matrix(),
            irThreshold1.currencyRiskGroup().volatilityType().equalsIgnoreCase (
                irThreshold2.currencyRiskGroup().volatilityType()
            ) ? 1. : org.drip.simm.rates.IRSystemics20.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION
        );
    }
}