IRThresholdContainer21.java

  1. package org.drip.simm.rates;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * 
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  * 
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  * 
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  * 
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  * 
  50.  *  Documentation for DROP is Spread Over:
  51.  * 
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  * 
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *   
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  78. /**
  79.  * <i>IRThresholdContainer21</i> holds the ISDA SIMM 2.1 Interest Rate Thresholds - the Currency Risk Groups,
  80.  * and the Delta/Vega Limits defined for the Concentration Thresholds. The References are:
  81.  * 
  82.  * <br><br>
  83.  *  <ul>
  84.  *      <li>
  85.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  86.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  87.  *      </li>
  88.  *      <li>
  89.  *          Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
  90.  *              Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 <b>eSSRN</b>
  91.  *      </li>
  92.  *      <li>
  93.  *          Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing
  94.  *              Framework for Forecasting Initial Margin Requirements
  95.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
  96.  *      </li>
  97.  *      <li>
  98.  *          Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin
  99.  *              Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167
  100.  *                  <b>eSSRN</b>
  101.  *      </li>
  102.  *      <li>
  103.  *          International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology
  104.  *              https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
  105.  *      </li>
  106.  *  </ul>
  107.  * 
  108.  * <br><br>
  109.  *  <ul>
  110.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  111.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></li>
  112.  *      <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>
  113.  *      <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>
  114.  *  </ul>
  115.  * <br><br>
  116.  * 
  117.  * @author Lakshmi Krishnamurthy
  118.  */

  120. public class IRThresholdContainer21
  121. {
  122.     private static final java.util.Map<java.lang.String, java.lang.Integer> s_CurrencyThresholdMap = new
  123.         java.util.HashMap<java.lang.String, java.lang.Integer>();

  125.     private static final java.util.Map<java.lang.Integer, org.drip.simm.rates.IRThreshold> s_ThresholdMap =
  126.         new java.util.TreeMap<java.lang.Integer, org.drip.simm.rates.IRThreshold>();

  128.     private static final boolean SetupCurrencyMap()
  129.     {
  130.         s_CurrencyThresholdMap.put (
  131.             "USD",
  132.             2
  133.         );

  135.         s_CurrencyThresholdMap.put (
  136.             "EUR",
  137.             2
  138.         );

  140.         s_CurrencyThresholdMap.put (
  141.             "GBP",
  142.             2
  143.         );

  145.         s_CurrencyThresholdMap.put (
  146.             "AUD",
  147.             3
  148.         );

  150.         s_CurrencyThresholdMap.put (
  151.             "CAD",
  152.             3
  153.         );

  155.         s_CurrencyThresholdMap.put (
  156.             "CHF",
  157.             3
  158.         );

  160.         s_CurrencyThresholdMap.put (
  161.             "DKK",
  162.             3
  163.         );

  165.         s_CurrencyThresholdMap.put (
  166.             "HKD",
  167.             3
  168.         );

  170.         s_CurrencyThresholdMap.put (
  171.             "KRW",
  172.             3
  173.         );

  175.         s_CurrencyThresholdMap.put (
  176.             "NOK",
  177.             3
  178.         );

  180.         s_CurrencyThresholdMap.put (
  181.             "NZD",
  182.             3
  183.         );

  185.         s_CurrencyThresholdMap.put (
  186.             "SEK",
  187.             3
  188.         );

  190.         s_CurrencyThresholdMap.put (
  191.             "SGD",
  192.             3
  193.         );

  195.         s_CurrencyThresholdMap.put (
  196.             "TWD",
  197.             3
  198.         );

  200.         s_CurrencyThresholdMap.put (
  201.             "JPY",
  202.             4
  203.         );

  205.         return true;
  206.     }

  208.     /**
  209.      * Initialize the Container
  210.      * 
  211.      * @return TRUE - The Container successfully Initialized
  212.      */

  214.     public static final boolean Init()
  215.     {
  216.         try
  217.         {
  218.             s_ThresholdMap.put (
  219.                 1,
  220.                 new org.drip.simm.rates.IRThreshold (
  221.                     new org.drip.simm.rates.CurrencyRiskGroup (
  222.                         org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_HIGH,
  223.                         org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_LESS_WELL_TRADED,
  224.                         new java.lang.String[]
  225.                         {
  226.                             "Other"
  227.                         }
  228.                     ),
  229.                     new org.drip.simm.common.DeltaVegaThreshold (
  230.                         12.,
  231.                         120.
  232.                     )
  233.                 )
  234.             );

  236.             s_ThresholdMap.put (
  237.                 2,
  238.                 new org.drip.simm.rates.IRThreshold (
  239.                     new org.drip.simm.rates.CurrencyRiskGroup (
  240.                         org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_REGULAR,
  241.                         org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_WELL_TRADED,
  242.                         new java.lang.String[]
  243.                         {
  244.                             "USD",
  245.                             "EUR",
  246.                             "GBP"
  247.                         }
  248.                     ),
  249.                     new org.drip.simm.common.DeltaVegaThreshold (
  250.                         210.,
  251.                         2200.
  252.                     )
  253.                 )
  254.             );

  256.             s_ThresholdMap.put (
  257.                 3,
  258.                 new org.drip.simm.rates.IRThreshold (
  259.                     new org.drip.simm.rates.CurrencyRiskGroup (
  260.                         org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_REGULAR,
  261.                         org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_LESS_WELL_TRADED,
  262.                         new java.lang.String[]
  263.                         {
  264.                             "AUD",
  265.                             "CAD",
  266.                             "CHF",
  267.                             "DKK",
  268.                             "HKD",
  269.                             "KRW",
  270.                             "NOK",
  271.                             "NZD",
  272.                             "SEK",
  273.                             "SGD",
  274.                             "TWD"
  275.                         }
  276.                     ),
  277.                     new org.drip.simm.common.DeltaVegaThreshold (
  278.                         27.,
  279.                         190.
  280.                     )
  281.                 )
  282.             );

  284.             s_ThresholdMap.put (
  285.                 4,
  286.                 new org.drip.simm.rates.IRThreshold (
  287.                     new org.drip.simm.rates.CurrencyRiskGroup (
  288.                         org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_LOW,
  289.                         org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_WELL_TRADED,
  290.                         new java.lang.String[]
  291.                         {
  292.                             "JPY"
  293.                         }
  294.                     ),
  295.                     new org.drip.simm.common.DeltaVegaThreshold (
  296.                         170.,
  297.                         770.
  298.                     )
  299.                 )
  300.             );
  301.         }
  302.         catch (java.lang.Exception e)
  303.         {
  304.             e.printStackTrace();

  306.             return false;
  307.         }

  309.         return SetupCurrencyMap();
  310.     }

  312.     /**
  313.      * Retrieve the Interest Rate Threshold Container Bucket Index Set
  314.      * 
  315.      * @return The Interest Rate Threshold Container Bucket Index Set
  316.      */

  318.     public static final java.util.Set<java.lang.Integer> IndexSet()
  319.     {
  320.         return s_ThresholdMap.keySet();
  321.     }

  323.     /**
  324.      * Retrieve the Interest Rate Threshold Container Currency Set
  325.      * 
  326.      * @return The Interest Rate Threshold Container Currency Set
  327.      */

  329.     public static final java.util.Set<java.lang.String> CurrencySet()
  330.     {
  331.         return s_CurrencyThresholdMap.keySet();
  332.     }

  334.     /**
  335.      * Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
  336.      * 
  337.      * @param groupNumber The Group Number
  338.      * 
  339.      * @return TRUE - The Entry denoted by the Number is available as an Interest Rate Threshold
  340.      */

  342.     public static final boolean ContainsThreshold (
  343.         final int groupNumber)
  344.     {
  345.         return s_ThresholdMap.containsKey (groupNumber);
  346.     }

  348.     /**
  349.      * Indicate if the Currency is available as an Interest Rate Threshold
  350.      * 
  351.      * @param currency The Currency
  352.      * 
  353.      * @return TRUE - The Currency is available as an Interest Rate Threshold
  354.      */

  356.     public static final boolean ContainsThreshold (
  357.         final java.lang.String currency)
  358.     {
  359.         return s_CurrencyThresholdMap.containsKey (currency);
  360.     }

  362.     /**
  363.      * Retrieve the Interest Rate Threshold denoted by the Currency
  364.      * 
  365.      * @param currency The Currency
  366.      * 
  367.      * @return The Interest Rate Threshold
  368.      */

  370.     public static final org.drip.simm.rates.IRThreshold Threshold (
  371.         final java.lang.String currency)
  372.     {
  373.         return ContainsThreshold (currency) ? s_ThresholdMap.get (s_CurrencyThresholdMap.get (currency)) :
  374.             s_ThresholdMap.get (1);
  375.     }

  377.     /**
  378.      * Retrieve the Interest Rate Threshold denoted by the Group Number
  379.      * 
  380.      * @param groupNumber The Group Number
  381.      * 
  382.      * @return The Interest Rate Threshold
  383.      */

  385.     public static final org.drip.simm.rates.IRThreshold Threshold (
  386.         final int groupNumber)
  387.     {
  388.         return ContainsThreshold (groupNumber) ? s_ThresholdMap.get (groupNumber) : null;
  389.     }

  391.     /**
  392.      * Retrieve the Currency Threshold Map
  393.      * 
  394.      * @return The Currency Threshold Map
  395.      */

  397.     public static final java.util.Map<java.lang.String, java.lang.Integer> CurrencyThresholdMap()
  398.     {
  399.         return s_CurrencyThresholdMap;
  400.     }

  402.     /**
  403.      * Retrieve the Interest Rate Threshold Map
  404.      * 
  405.      * @return The Interest Rate Threshold Map
  406.      */

  408.     public static final java.util.Map<java.lang.Integer, org.drip.simm.rates.IRThreshold> ThresholdMap()
  409.     {
  410.         return s_ThresholdMap;
  411.     }
  412. }
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