Features:

- Low Volatility Risk Weights Fix (1, 2) - ISDA SIMM2.0 Market Parameter Fixings (24) - SIMM 2.0 IR Parameter Settings (25) - SIMM 2.0 Issuer Bucket Shell (26, 27) - SIMM Credit Qualifying Bucket Number (28) - SIMM Credit Qualifying Bucket Quality (29) - SIMM Credit Qualifying Bucket Sectors (30) - Credit Qualifying Bucket Risk Weight (31) - Credit Qualifying Bucket - Constructor/Annotation (32, 33, 34) - SIMM Credit Qualifying Systemics - Shell (35) - SIMM Credit Qualifying Systemics - IG (36) - SIMM Credit Qualifying Systemics - HY (37) - SIMM Credit Qualifying Systemics - NR (38) - Credit Qualifying Systemics - Sovereign Sector (39) - Credit Qualifying Systemics - Financial Sector (40) - Credit Qualifying Systemics - Materials Sector (41) - Credit Qualifying Systemics - Consumer Sector (42) - Credit Qualifying Systemics - Technology Sector (43) - Credit Qualifying Systemics - Health Sector (44) - Credit Qualifying Bucket - Sector Array (45) - Credit Qualifying Systemics - Investment Grade (46) - Credit Qualifying Systemics - High Yield (47) - SIMM 2.0 Credit Qualifying Settings Shell (48) - Credit Qualifying Settings Bucket Map (49) - Credit Qualifying Settings Bucket Containment (50) - Credit Qualifying Settings Bucket Retrieval (51) - Credit Qualifying Settings Initialization Shell (52) - Credit Qualifying Settings Bucket #1 (53) - Credit Qualifying Settings Bucket #2 (54) - Credit Qualifying Settings Bucket #3 (55) - Credit Qualifying Settings Bucket #4 (56) - Credit Qualifying Settings Bucket #5 (57) - Credit Qualifying Settings Bucket #6 (58) - Credit Qualifying Settings Bucket #7 (59) - Credit Qualifying Settings Bucket #8 (60) Bug Fixes/Clean-up: Samples: - High Volatility Risk Weights Fix (3, 4) - Single Currency Tenor Correlation #1 (5, 6) - Single Currency Tenor Correlation #2 (7, 8) - Single Currency Tenor Correlation #3 (9, 10) - Single Currency Tenor Correlation #4 (11, 12) - Single Currency Inflation Risk Weight (13) - Single Currency Basis Risk Weight (14) - Single Currency Vega Risk Weight (15) - Single Currency Cross Curve Correlation (16) - Single Currency Curve Inflation Correlation (17, 18) - Single Currency Curve Basis Correlation (19) - Single Currency Inflation Basis Correlation (20) - Cross Currency Tenor Indifference Correlation (21) - Systematic Risk Factor Weights Correlations (22, 23)
lakshmiDRIP · Jul 3, 2018 · 4a336f4 · 4a336f4
1 parent 01fa487
commit 4a336f4
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diff --git a/ReleaseNotes/06_20_2018.txt b/ReleaseNotes/06_20_2018.txt
@@ -0,0 +1,58 @@
+
+Features:
+
+	- Low Volatility Risk Weights Fix (1, 2)
+	- ISDA SIMM2.0 Market Parameter Fixings (24)
+	- SIMM 2.0 IR Parameter Settings (25)
+	- SIMM 2.0 Issuer Bucket Shell (26, 27)
+	- SIMM Credit Qualifying Bucket Number (28)
+	- SIMM Credit Qualifying Bucket Quality (29)
+	- SIMM Credit Qualifying Bucket Sectors (30)
+	- Credit Qualifying Bucket Risk Weight (31)
+	- Credit Qualifying Bucket - Constructor/Annotation (32, 33, 34)
+	- SIMM Credit Qualifying Systemics - Shell (35)
+	- SIMM Credit Qualifying Systemics - IG (36)
+	- SIMM Credit Qualifying Systemics - HY (37)
+	- SIMM Credit Qualifying Systemics - NR (38)
+	- Credit Qualifying Systemics - Sovereign Sector (39)
+	- Credit Qualifying Systemics - Financial Sector (40)
+	- Credit Qualifying Systemics - Materials Sector (41)
+	- Credit Qualifying Systemics - Consumer Sector (42)
+	- Credit Qualifying Systemics - Technology Sector (43)
+	- Credit Qualifying Systemics - Health Sector (44)
+	- Credit Qualifying Bucket - Sector Array (45)
+	- Credit Qualifying Systemics - Investment Grade (46)
+	- Credit Qualifying Systemics - High Yield (47)
+	- SIMM 2.0 Credit Qualifying Settings Shell (48)
+	- Credit Qualifying Settings Bucket Map (49)
+	- Credit Qualifying Settings Bucket Containment (50)
+	- Credit Qualifying Settings Bucket Retrieval (51)
+	- Credit Qualifying Settings Initialization Shell (52)
+	- Credit Qualifying Settings Bucket #1 (53)
+	- Credit Qualifying Settings Bucket #2 (54)
+	- Credit Qualifying Settings Bucket #3 (55)
+	- Credit Qualifying Settings Bucket #4 (56)
+	- Credit Qualifying Settings Bucket #5 (57)
+	- Credit Qualifying Settings Bucket #6 (58)
+	- Credit Qualifying Settings Bucket #7 (59)
+	- Credit Qualifying Settings Bucket #8 (60)
+
+
+Bug Fixes/Clean-up:
+
+Samples:
+
+	- High Volatility Risk Weights Fix (3, 4)
+	- Single Currency Tenor Correlation #1 (5, 6)
+	- Single Currency Tenor Correlation #2 (7, 8)
+	- Single Currency Tenor Correlation #3 (9, 10)
+	- Single Currency Tenor Correlation #4 (11, 12)
+	- Single Currency Inflation Risk Weight (13)
+	- Single Currency Basis Risk Weight (14)
+	- Single Currency Vega Risk Weight (15)
+	- Single Currency Cross Curve Correlation (16)
+	- Single Currency Curve Inflation Correlation (17, 18)
+	- Single Currency Curve Basis Correlation (19)
+	- Single Currency Inflation Basis Correlation (20)
+	- Cross Currency Tenor Indifference Correlation (21)
+	- Systematic Risk Factor Weights Correlations (22, 23)
diff --git a/src/main/java/org/drip/sample/simm20/InterestRateRiskWeights.java b/src/main/java/org/drip/sample/simm20/InterestRateRiskWeights.java
@@ -1,12 +1,14 @@
 
 package org.drip.sample.simm20;
 
+import java.util.List;
 import java.util.Map;
 
 import org.drip.quant.common.FormatUtil;
 import org.drip.service.env.EnvManager;
+import org.drip.simm20.parameters.InterestRateSettings;
+import org.drip.simm20.risk.InterestRateTenorCorrelation;
 import org.drip.simm20.risk.InterestRateWeight;
-import org.drip.simm20.risk.InterestRateWeightSpecification;
 
 /*
  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
@@ -90,15 +92,15 @@ private static final void RegularVolatility()
 
 		System.out.println (
 			"\t|| Currency Set => " +
-			InterestRateWeightSpecification.RegularVolatilityCurrencySet() + " ||"
+			InterestRateSettings.RegularVolatilityCurrencySet() + " ||"
 		);
 
 		System.out.println ("\t||-----------------------------------------------------------------------------------||");
 
 		System.out.println
 			("\t||------------------------------------------------------------------------------------------------------------------------------------------------------||");
 
-		InterestRateWeight usdRiskWeight = InterestRateWeightSpecification.RiskWeight ("USD");
+		InterestRateWeight usdRiskWeight = InterestRateSettings.RiskWeight ("USD");
 
 		String tenorWeightSequence = "\t|| ";
 
@@ -112,6 +114,210 @@ private static final void RegularVolatility()
 
 		System.out.println
 			("\t||------------------------------------------------------------------------------------------------------------------------------------------------------||");
+
+		System.out.println();
+	}
+
+	private static final void LowVolatility()
+		throws Exception
+	{
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println ("\t||                    LOW VOLATILITY CURRENCY SET and RISK WEIGHTS                   ||");
+
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println (
+			"\t|| Currency Set => " +
+			InterestRateSettings.LowVolatilityCurrencySet()
+		);
+
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println
+			("\t||----------------------------------------------------------------------------------------------------------------------------------------------------||");
+
+		InterestRateWeight jpyRiskWeight = InterestRateSettings.RiskWeight ("JPY");
+
+		String tenorWeightSequence = "\t|| ";
+
+		for (Map.Entry<String, Double> tenorWeightEntry : jpyRiskWeight.tenorWeightMap().entrySet())
+		{
+			tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
+				FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
+		}
+
+		System.out.println (tenorWeightSequence + "|");
+
+		System.out.println
+			("\t||----------------------------------------------------------------------------------------------------------------------------------------------------||");
+
+		System.out.println();
+	}
+
+	private static final void HighVolatility()
+		throws Exception
+	{
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println ("\t||                   HIGH VOLATILITY CURRENCY SET and RISK WEIGHTS                   ||");
+
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println (
+			"\t|| Currency Set => " +
+			InterestRateSettings.HighVolatilityCurrencySet()
+		);
+
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println
+			("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------||");
+
+		InterestRateWeight inrRiskWeight = InterestRateSettings.RiskWeight ("INR");
+
+		String tenorWeightSequence = "\t|| ";
+
+		for (Map.Entry<String, Double> tenorWeightEntry : inrRiskWeight.tenorWeightMap().entrySet())
+		{
+			tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
+				FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
+		}
+
+		System.out.println (tenorWeightSequence + "|");
+
+		System.out.println
+			("\t||-----------------------------------------------------------------------------------------------------------------------------------------------------------||");
+
+		System.out.println();
+	}
+
+	private static final void SingleCurrencyTenorCorrelation()
+		throws Exception
+	{
+		InterestRateTenorCorrelation singleCurveTenorCorrelation =
+			InterestRateSettings.SingleCurveTenorCorrelation();
+
+		List<String> tenorList = singleCurveTenorCorrelation.tenorList();
+
+		System.out.println
+			("\t||------------------------------------------------------------------------------------------||");
+
+		System.out.println
+			("\t||                          INTEREST RATE CROSS TENOR CORRELATION                           ||");
+
+		System.out.println
+			("\t||------------------------------------------------------------------------------------------||");
+
+		String rowDump = "\t||      ";
+
+		for (String tenor : tenorList)
+		{
+			rowDump = rowDump + "  " + tenor + "  ";
+		}
+
+		System.out.println (rowDump + "||");
+
+		System.out.println
+			("\t||------------------------------------------------------------------------------------------||");
+
+		for (String innerTenor : tenorList)
+		{
+			rowDump = "\t|| " + innerTenor + " ";
+
+			for (String outerTenor : tenorList)
+			{
+				rowDump = rowDump + " " +
+					FormatUtil.FormatDouble (
+						singleCurveTenorCorrelation.entry (
+							innerTenor,
+							outerTenor
+						),
+					3, 0, 100.) + "% ";
+			}
+
+			System.out.println (rowDump + " ||");
+		}
+
+		System.out.println
+			("\t||------------------------------------------------------------------------------------------||");
+
+		System.out.println();
+	}
+
+	private static final void StaticParametersDump()
+		throws Exception
+	{
+		System.out.println ("\t||-------------------------------------------------------------------------------||");
+
+		System.out.println ("\t||                SYSTEMATIC FACTOR RISK WEIGHTS AND CORRELATIONS                ||");
+
+		System.out.println ("\t||-------------------------------------------------------------------------------||");
+
+		System.out.println (
+			"\t|| Single Currency Inflation Risk Weight                               => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Single Currency Basis Swap Spread Risk Weight                       => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Single Currency Vega Risk Weight                                    => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.VEGA_RISK_WEIGHT, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Single Currency Cross Curve Correlation                             => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.SINGLE_CURRENCY_CROSS_CURVE_CORRELATION, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Single Currency Curve Inflation Correlation                         => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Single Currency Curve Volatility Inflation Volatility Correlation   => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Single Currency Curve Basis Swap Spread Correlation                 => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Single Currency Basis Swap Spread Inflation Correlation             => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println (
+			"\t|| Cross Currency Correlation                                          => " +
+			FormatUtil.FormatDouble (
+				InterestRateSettings.CROSS_CURRENCY_CORRELATION, 2, 2, 1.
+			) + " ||"
+		);
+
+		System.out.println ("\t||-------------------------------------------------------------------------------||");
 	}
 
 	public final static void main (
@@ -122,6 +328,14 @@ public final static void main (
 
 		RegularVolatility();
 
+		LowVolatility();
+
+		HighVolatility();
+
+		SingleCurrencyTenorCorrelation();
+
+		StaticParametersDump();
+
 		EnvManager.TerminateEnv();
 	}
 }
diff --git a/src/main/java/org/drip/service/env/EnvManager.java b/src/main/java/org/drip/service/env/EnvManager.java
@@ -213,7 +213,7 @@ public static final java.sql.Statement InitEnv (
 			return null;
 		}
 
-		if (!org.drip.simm20.risk.InterestRateWeightSpecification.Init()) {
+		if (!org.drip.simm20.parameters.InterestRateSettings.Init()) {
 			System.out.println
 				("EnvManager::InitEnv => Cannot Initialize SIMM 2.0 Interest Rate Weights Specification!");