IRThresholdContainer21.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>IRThresholdContainer21</i> holds the ISDA SIMM 2.1 Interest Rate Thresholds - the Currency Risk Groups,
* and the Delta/Vega Limits defined for the Concentration Thresholds. 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 IRThresholdContainer21
{
private static final java.util.Map<java.lang.String, java.lang.Integer> s_CurrencyThresholdMap = new
java.util.HashMap<java.lang.String, java.lang.Integer>();
private static final java.util.Map<java.lang.Integer, org.drip.simm.rates.IRThreshold> s_ThresholdMap =
new java.util.TreeMap<java.lang.Integer, org.drip.simm.rates.IRThreshold>();
private static final boolean SetupCurrencyMap()
{
s_CurrencyThresholdMap.put (
"USD",
2
);
s_CurrencyThresholdMap.put (
"EUR",
2
);
s_CurrencyThresholdMap.put (
"GBP",
2
);
s_CurrencyThresholdMap.put (
"AUD",
3
);
s_CurrencyThresholdMap.put (
"CAD",
3
);
s_CurrencyThresholdMap.put (
"CHF",
3
);
s_CurrencyThresholdMap.put (
"DKK",
3
);
s_CurrencyThresholdMap.put (
"HKD",
3
);
s_CurrencyThresholdMap.put (
"KRW",
3
);
s_CurrencyThresholdMap.put (
"NOK",
3
);
s_CurrencyThresholdMap.put (
"NZD",
3
);
s_CurrencyThresholdMap.put (
"SEK",
3
);
s_CurrencyThresholdMap.put (
"SGD",
3
);
s_CurrencyThresholdMap.put (
"TWD",
3
);
s_CurrencyThresholdMap.put (
"JPY",
4
);
return true;
}
/**
* Initialize the Container
*
* @return TRUE - The Container successfully Initialized
*/
public static final boolean Init()
{
try
{
s_ThresholdMap.put (
1,
new org.drip.simm.rates.IRThreshold (
new org.drip.simm.rates.CurrencyRiskGroup (
org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_HIGH,
org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_LESS_WELL_TRADED,
new java.lang.String[]
{
"Other"
}
),
new org.drip.simm.common.DeltaVegaThreshold (
12.,
120.
)
)
);
s_ThresholdMap.put (
2,
new org.drip.simm.rates.IRThreshold (
new org.drip.simm.rates.CurrencyRiskGroup (
org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_REGULAR,
org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_WELL_TRADED,
new java.lang.String[]
{
"USD",
"EUR",
"GBP"
}
),
new org.drip.simm.common.DeltaVegaThreshold (
210.,
2200.
)
)
);
s_ThresholdMap.put (
3,
new org.drip.simm.rates.IRThreshold (
new org.drip.simm.rates.CurrencyRiskGroup (
org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_REGULAR,
org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_LESS_WELL_TRADED,
new java.lang.String[]
{
"AUD",
"CAD",
"CHF",
"DKK",
"HKD",
"KRW",
"NOK",
"NZD",
"SEK",
"SGD",
"TWD"
}
),
new org.drip.simm.common.DeltaVegaThreshold (
27.,
190.
)
)
);
s_ThresholdMap.put (
4,
new org.drip.simm.rates.IRThreshold (
new org.drip.simm.rates.CurrencyRiskGroup (
org.drip.simm.rates.IRSystemics.VOLATILITY_TYPE_LOW,
org.drip.simm.rates.IRSystemics.TRADE_FREQUENCY_WELL_TRADED,
new java.lang.String[]
{
"JPY"
}
),
new org.drip.simm.common.DeltaVegaThreshold (
170.,
770.
)
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return false;
}
return SetupCurrencyMap();
}
/**
* Retrieve the Interest Rate Threshold Container Bucket Index Set
*
* @return The Interest Rate Threshold Container Bucket Index Set
*/
public static final java.util.Set<java.lang.Integer> IndexSet()
{
return s_ThresholdMap.keySet();
}
/**
* Retrieve the Interest Rate Threshold Container Currency Set
*
* @return The Interest Rate Threshold Container Currency Set
*/
public static final java.util.Set<java.lang.String> CurrencySet()
{
return s_CurrencyThresholdMap.keySet();
}
/**
* Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
*
* @param groupNumber The Group Number
*
* @return TRUE - The Entry denoted by the Number is available as an Interest Rate Threshold
*/
public static final boolean ContainsThreshold (
final int groupNumber)
{
return s_ThresholdMap.containsKey (groupNumber);
}
/**
* Indicate if the Currency is available as an Interest Rate Threshold
*
* @param currency The Currency
*
* @return TRUE - The Currency is available as an Interest Rate Threshold
*/
public static final boolean ContainsThreshold (
final java.lang.String currency)
{
return s_CurrencyThresholdMap.containsKey (currency);
}
/**
* Retrieve the Interest Rate Threshold denoted by the Currency
*
* @param currency The Currency
*
* @return The Interest Rate Threshold
*/
public static final org.drip.simm.rates.IRThreshold Threshold (
final java.lang.String currency)
{
return ContainsThreshold (currency) ? s_ThresholdMap.get (s_CurrencyThresholdMap.get (currency)) :
s_ThresholdMap.get (1);
}
/**
* Retrieve the Interest Rate Threshold denoted by the Group Number
*
* @param groupNumber The Group Number
*
* @return The Interest Rate Threshold
*/
public static final org.drip.simm.rates.IRThreshold Threshold (
final int groupNumber)
{
return ContainsThreshold (groupNumber) ? s_ThresholdMap.get (groupNumber) : null;
}
/**
* Retrieve the Currency Threshold Map
*
* @return The Currency Threshold Map
*/
public static final java.util.Map<java.lang.String, java.lang.Integer> CurrencyThresholdMap()
{
return s_CurrencyThresholdMap;
}
/**
* Retrieve the Interest Rate Threshold Map
*
* @return The Interest Rate Threshold Map
*/
public static final java.util.Map<java.lang.Integer, org.drip.simm.rates.IRThreshold> ThresholdMap()
{
return s_ThresholdMap;
}
}