Features:

Bug Fixes/Re-organization: - SIMM Margin Risk Measure Aggregate IR (1) - SIMM Margin Risk Measure Aggregate IR - Core SBA Variance (2, 3) - SIMM Margin Risk Measure Aggregate IR - Residual SBA Variance (4, 5) - SIMM Margin Risk Measure Aggregate IR - Bucket Map (6, 7) - SIMM Margin Risk Measure Aggregate IR - Constructor (8, 9) - SIMM Margin Risk Measure Aggregate IR - SBA (10) - SIMM Margin Sensitivity Aggregate CR (11, 12, 13) - SIMM Margin Sensitivity Aggregate CR - Cumulative #4 (14, 15) - SIMM Margin Sensitivity Aggregate CR - Component Covariance Map (16, 17) - SIMM Margin Sensitivity Aggregate CR - Constructor (18, 19) - SIMM Margin Sensitivity Aggregate CR - Covariance #1 (20) - SIMM Margin Sensitivity Aggregate CR - Covariance #2 (21) - SIMM Margin Sensitivity Aggregate CR - Covariance OIS (22, 23) - SIMM Margin Sensitivity Aggregate CR - Covariance OIS PRIME (24, 25) - SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 1M (26, 27) - SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 3M (28, 29) - SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 6M (30, 31) - SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 12M (32, 33) - SIMM Margin Sensitivity Aggregate CR - Covariance OIS MUNICIPAL (34, 35) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M PRIME (36, 37) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M (38, 39) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M 3M (40, 41) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M 6M (42, 43) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M 12M (44, 45) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M MUNICIPAL (46, 47) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M PRIME (48, 49) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M (50, 51) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M 6M (52, 53) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M 12M (54, 55) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M MUNICIPAL (56, 57) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M PRIME (58, 59) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M (60, 61) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M 12M (62, 63) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M MUNICIPAL (64, 65) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 12M PRIME (66, 67) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 12M (68, 69) - SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 12M MUNICIPAL (70, 71) - SIMM Margin Sensitivity Aggregate CR - Covariance PRIME (72, 73) - SIMM Margin Sensitivity Aggregate CR - Covariance PRIME MUNICIPAL (74, 75) - SIMM Margin Sensitivity Aggregate CR - Covariance MUNICIPAL (76, 77) - SIMM Margin Sensitivity Aggregate CR - Cumulative #1 (78, 79) - SIMM Margin Sensitivity Aggregate CR - Constructor (80, 81) - SIMM Margin Sensitivity Aggregate CR - Cumulative #2 (82) - SIMM Margin Sensitivity Aggregate CR - Cumulative #3 (83) - SIMM Parameters Bucket Curvature Settings (84, 85, 86) - SIMM Parameters Liquidity Settings (87, 88, 89) - SIMM Parameters Liquidity Settings - Concentration Threshold (90, 91) - SIMM Parameters Liquidity Settings - Constructor (92) - SIMM Parameters Bucket Senstivity Settings (93, 94, 95) - SIMM Parameters Bucket Senstivity Settings - Risk Weight (96, 97) - SIMM Parameters Bucket Senstivity Settings - Member Correlation (98, 99) - SIMM Parameters Bucket Senstivity Settings - ISDA EQ 2.0 (100, 101) - SIMM Parameters Bucket Senstivity Settings - ISDA EQ 2.1 (102, 103) - SIMM Parameters Bucket Senstivity Settings - ISDA EQ 2.4 (104, 105) - SIMM Parameters Bucket Senstivity Settings - ISDA CT 2.0 (106, 107) - SIMM Parameters Bucket Senstivity Settings - ISDA CT 2.1 (108, 109) - SIMM Parameters Bucket Senstivity Settings - ISDA CT 2.4 (110, 111) - SIMM Parameters Bucket Senstivity Settings - ISDA FX 2.0 (112, 113) - SIMM Parameters Bucket Senstivity Settings - ISDA FX 2.1 (114, 115) - SIMM Parameters Bucket Senstivity Settings - ISDA FX 2.4 (116, 117) - SIMM Parameters Bucket Senstivity Settings - Constructor (118, 119) - SIMM Parameters Bucket Senstivity Settings CR (120) Samples: IdeaDRIP:
lakshmiDRIP · Jun 16, 2024 · 199a3d7 · 199a3d7
1 parent 6abdc87
commit 199a3d7
Show file tree

Hide file tree

Showing 9 changed files with 324 additions and 304 deletions.
diff --git a/ReleaseNotes/01_04_2024.txt b/ReleaseNotes/01_04_2024.txt
@@ -0,0 +1,72 @@
+
+Features:
+
+Bug Fixes/Re-organization:
+
+	- SIMM Margin Risk Measure Aggregate IR (1)
+	- SIMM Margin Risk Measure Aggregate IR - Core SBA Variance (2, 3)
+	- SIMM Margin Risk Measure Aggregate IR - Residual SBA Variance (4, 5)
+	- SIMM Margin Risk Measure Aggregate IR - Bucket Map (6, 7)
+	- SIMM Margin Risk Measure Aggregate IR - Constructor (8, 9)
+	- SIMM Margin Risk Measure Aggregate IR - SBA (10)
+	- SIMM Margin Sensitivity Aggregate CR (11, 12, 13)
+	- SIMM Margin Sensitivity Aggregate CR - Cumulative #4 (14, 15)
+	- SIMM Margin Sensitivity Aggregate CR - Component Covariance Map (16, 17)
+	- SIMM Margin Sensitivity Aggregate CR - Constructor (18, 19)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance #1 (20)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance #2 (21)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance OIS (22, 23)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance OIS PRIME (24, 25)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 1M (26, 27)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 3M (28, 29)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 6M (30, 31)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance OIS LIBOR 12M (32, 33)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance OIS MUNICIPAL (34, 35)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M PRIME (36, 37)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M (38, 39)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M 3M (40, 41)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M 6M (42, 43)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M 12M (44, 45)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 1M MUNICIPAL (46, 47)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M PRIME (48, 49)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M (50, 51)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M 6M (52, 53)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M 12M (54, 55)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 3M MUNICIPAL (56, 57)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M PRIME (58, 59)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M (60, 61)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M 12M (62, 63)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 6M MUNICIPAL (64, 65)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 12M PRIME (66, 67)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 12M (68, 69)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance LIBOR 12M MUNICIPAL (70, 71)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance PRIME (72, 73)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance PRIME MUNICIPAL (74, 75)
+	- SIMM Margin Sensitivity Aggregate CR - Covariance MUNICIPAL (76, 77)
+	- SIMM Margin Sensitivity Aggregate CR - Cumulative #1 (78, 79)
+	- SIMM Margin Sensitivity Aggregate CR - Constructor (80, 81)
+	- SIMM Margin Sensitivity Aggregate CR - Cumulative #2 (82)
+	- SIMM Margin Sensitivity Aggregate CR - Cumulative #3 (83)
+	- SIMM Parameters Bucket Curvature Settings (84, 85, 86)
+	- SIMM Parameters Liquidity Settings (87, 88, 89)
+	- SIMM Parameters Liquidity Settings - Concentration Threshold (90, 91)
+	- SIMM Parameters Liquidity Settings - Constructor (92)
+	- SIMM Parameters Bucket Senstivity Settings (93, 94, 95)
+	- SIMM Parameters Bucket Senstivity Settings - Risk Weight (96, 97)
+	- SIMM Parameters Bucket Senstivity Settings - Member Correlation (98, 99)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA EQ 2.0 (100, 101)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA EQ 2.1 (102, 103)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA EQ 2.4 (104, 105)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA CT 2.0 (106, 107)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA CT 2.1 (108, 109)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA CT 2.4 (110, 111)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA FX 2.0 (112, 113)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA FX 2.1 (114, 115)
+	- SIMM Parameters Bucket Senstivity Settings - ISDA FX 2.4 (116, 117)
+	- SIMM Parameters Bucket Senstivity Settings - Constructor (118, 119)
+	- SIMM Parameters Bucket Senstivity Settings CR (120)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/simm/margin/RiskMeasureAggregateIR.java b/src/main/java/org/drip/simm/margin/RiskMeasureAggregateIR.java
@@ -117,7 +117,11 @@
  * 	It provides the following Functionality:
  *
  *  <ul>
- * 		<li><i>RiskMeasureAggregate</i> Constructor</li>
+ * 		<li><i>RiskMeasureAggregateIR</i> Constructor</li>
+ * 		<li>Retrieve the Core SBA Variance</li>
+ * 		<li>Retrieve the Residual SBA Variance</li>
+ * 		<li>Retrieve the Aggregate Bucket Map</li>
+ * 		<li>Retrieve the Total SBA Margin</li>
  *  </ul>
  *
  *	<br>
@@ -135,11 +139,10 @@ public class RiskMeasureAggregateIR
 {
 	private double _coreSBAVariance = Double.NaN;
 	private double _residualSBAVariance = Double.NaN;
-	private Map<String, BucketAggregateIR> _bucketAggregateMap =
-		null;
+	private Map<String, BucketAggregateIR> _bucketAggregateMap = null;
 
 	/**
-	 * RiskMeasureAggregateIR Constructor
+	 * <i>RiskMeasureAggregateIR</i> Constructor
 	 * 
 	 * @param bucketAggregateMap IR Bucket Aggregate Map
 	 * @param coreSBAVariance The Core SBA Variance
@@ -155,17 +158,10 @@ public RiskMeasureAggregateIR (
 		throws Exception
 	{
 		if (null == (_bucketAggregateMap = bucketAggregateMap) ||
-			!NumberUtil.IsValid (
-				_coreSBAVariance = coreSBAVariance
-			) ||
-			!NumberUtil.IsValid (
-				_residualSBAVariance = residualSBAVariance
-			)
-		)
+			!NumberUtil.IsValid (_coreSBAVariance = coreSBAVariance) ||
+			!NumberUtil.IsValid (_residualSBAVariance = residualSBAVariance))
 		{
-			throw new Exception (
-				"RiskMeasureAggregateIR Constructor => Invalid Inputs"
-			);
+			throw new Exception ("RiskMeasureAggregateIR Constructor => Invalid Inputs");
 		}
 	}
 
@@ -210,8 +206,6 @@ public Map<String, BucketAggregateIR> bucketAggregateMap()
 
 	public double sba()
 	{
-		return Math.sqrt (
-			_coreSBAVariance + _residualSBAVariance
-		);
+		return Math.sqrt (_coreSBAVariance + _residualSBAVariance);
 	}
 }
diff --git a/src/main/java/org/drip/simm/margin/SensitivityAggregateCR.java b/src/main/java/org/drip/simm/margin/SensitivityAggregateCR.java
@@ -10,6 +10,9 @@
  */
 
 /*!
+ * Copyright (C) 2025 Lakshmi Krishnamurthy
+ * Copyright (C) 2024 Lakshmi Krishnamurthy
+ * Copyright (C) 2023 Lakshmi Krishnamurthy
  * Copyright (C) 2022 Lakshmi Krishnamurthy
  * Copyright (C) 2021 Lakshmi Krishnamurthy
  * Copyright (C) 2020 Lakshmi Krishnamurthy
@@ -83,7 +86,7 @@
 
 /**
  * <i>SensitivityAggregateCR</i> holds the IM Margin Sensitivity Co-variances within a single Bucket for each
- * of the CR Component Risk Factors. The References are:
+ * 	of the CR Component Risk Factors. The References are:
  * 
  * <br><br>
  *  <ul>
@@ -110,15 +113,24 @@
  *  			https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
  *  	</li>
  *  </ul>
- * 
- * <br><br>
+ *
+ * 	It provides the following Functionality:
+ *
  *  <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/margin/README.md">ISDA SIMM Risk Factor Margin Metrics</a></li>
+ * 		<li><i>SensitivityAggregateCR</i> Constructor</li>
+ * 		<li>Retrieve the Component Margin Covariance Map</li>
+ * 		<li>Compute the Cumulative Margin Covariance</li>
+ * 		<li>Compute the Cumulative Sensitivity Margin</li>
+ * 		<li>Retrieve the Cumulative Margin Sensitivity</li>
  *  </ul>
- * <br><br>
+ *
+ *	<br>
+ *  <table style="border:1px solid black;margin-left:auto;margin-right:auto;">
+ *		<tr><td><b>Module </b></td> <td><a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></td></tr>
+ *		<tr><td><b>Library</b></td> <td><a href = "https://github.com/lakshmiDRIP/DROP/tree/master/MarginAnalyticsLibrary.md">Initial and Variation Margin Analytics</a></td></tr>
+ *		<tr><td><b>Project</b></td> <td><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></td></tr>
+ *		<tr><td><b>Package</b></td> <td><a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/simm/margin/README.md">ISDA SIMM Risk Factor Margin Metrics</a></td></tr>
+ *  </table>
  * 
  * @author Lakshmi Krishnamurthy
  */
@@ -129,7 +141,7 @@ public class SensitivityAggregateCR
 	private Map<String, Double> _componentMarginCovarianceMap = null;
 
 	/**
-	 * SensitivityAggregateCR Constructor
+	 * <i>SensitivityAggregateCR</i> Constructor
 	 * 
 	 * @param componentMarginCovarianceMap The Component Margin Co-variance Map
 	 * @param cumulativeMarginSensitivity The Cumulative Margin Sensitivity
@@ -144,14 +156,9 @@ public SensitivityAggregateCR (
 	{
 		if (null == (_componentMarginCovarianceMap = componentMarginCovarianceMap) ||
 				0 == _componentMarginCovarianceMap.size() ||
-			!NumberUtil.IsValid (
-				_cumulativeMarginSensitivity = cumulativeMarginSensitivity
-			)
-		)
+			!NumberUtil.IsValid (_cumulativeMarginSensitivity = cumulativeMarginSensitivity))
 		{
-			throw new Exception (
-				"SensitivityAggregateCR Constructor => Invalid Inputs"
-			);
+			throw new Exception ("SensitivityAggregateCR Constructor => Invalid Inputs");
 		}
 	}
 
@@ -194,9 +201,7 @@ public double cumulativeMarginCovariance()
 
 	public double cumulativeMargin()
 	{
-		return Math.sqrt (
-			cumulativeMarginCovariance()
-		);
+		return Math.sqrt (cumulativeMarginCovariance());
 	}
 
 	/**