Features:

- Interest Rate Vega Risk Weight (1) - IR Weight Specification Init #1 (2, 3) - IR Weight Specification Init #2 (4, 5) - IR Weight Specification Init #3 (6, 7) - IR Weight Specification Init #4 (8, 9) - IR Weight Specification Init #5 (10, 11) - IR Weight Specification Init #6 (12, 13) - IR Weight Specification Init #7 (14, 15) - Interest Rate Tenor Correlation Shell (16) - Interest Rate Tenor Correlation Matrix (17) - Interest Rate Tenor Correlation List (18) - Interest Rate Tenor Correlation Constructor (19, 20, 21) - Interest Rate Tenor Index Map (22, 23) - Interest Rate Tenor Correlation Entries (24, 25, 26) - Sub-Tenor IR Correlation #1 (27, 28) - Sub-Tenor IR Correlation #2 (29, 30) - Sub-Tenor IR Correlation #3 (31, 32) - Interest Rate Tenor Correlation Specification (33, 34) - Interest Rate Tenor Correlation #1 (35, 36) - Interest Rate Tenor Correlation #2 (37, 38) - Interest Rate Tenor Correlation #3 (39, 40) - Single Currency Curve Tenor Correlation (41, 42) - Single Currency Inflation Tenor Correlation (43, 44) - Basis Swap Spread Tenor Correlation (45) - Single Cross Curve Currency Correlation (46, 47) - Cross Currency Curve Inflation Correlation (48) - Service Env SIMM 2.0 Specification (50) Bug Fixes/Clean-up: - SIMM 2.0 Margin Requirements Calculations (49) Samples: - Interest Rate Risk Weights Shell (51, 52) - Interest Rate Risk Weights Regular (53, 54) - USD IR Risk Weights #1 (55, 56) - USD IR Risk Weights #2 (57, 58) - USD IR Risk Weights #3 (59, 60)
lakshmiDRIP · Jul 3, 2018 · 0bb4cc1 · 0bb4cc1
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diff --git a/ExposureLibrary.txt → ExposureLibrary.html b/ExposureLibrary.txt → ExposureLibrary.html
diff --git a/ReleaseNotes/06_19_2018.txt b/ReleaseNotes/06_19_2018.txt
@@ -0,0 +1,44 @@
+
+Features:
+
+	- Interest Rate Vega Risk Weight (1)
+	- IR Weight Specification Init #1 (2, 3)
+	- IR Weight Specification Init #2 (4, 5)
+	- IR Weight Specification Init #3 (6, 7)
+	- IR Weight Specification Init #4 (8, 9)
+	- IR Weight Specification Init #5 (10, 11)
+	- IR Weight Specification Init #6 (12, 13)
+	- IR Weight Specification Init #7 (14, 15)
+	- Interest Rate Tenor Correlation Shell (16)
+	- Interest Rate Tenor Correlation Matrix (17)
+	- Interest Rate Tenor Correlation List (18)
+	- Interest Rate Tenor Correlation Constructor (19, 20, 21)
+	- Interest Rate Tenor Index Map (22, 23)
+	- Interest Rate Tenor Correlation Entries (24, 25, 26)
+	- Sub-Tenor IR Correlation #1 (27, 28)
+	- Sub-Tenor IR Correlation #2 (29, 30)
+	- Sub-Tenor IR Correlation #3 (31, 32)
+	- Interest Rate Tenor Correlation Specification (33, 34)
+	- Interest Rate Tenor Correlation #1 (35, 36)
+	- Interest Rate Tenor Correlation #2 (37, 38)
+	- Interest Rate Tenor Correlation #3 (39, 40)
+	- Single Currency Curve Tenor Correlation (41, 42)
+	- Single Currency Inflation Tenor Correlation (43, 44)
+	- Basis Swap Spread Tenor Correlation (45)
+	- Single Cross Curve Currency Correlation (46, 47)
+	- Cross Currency Curve Inflation Correlation (48)
+	- Service Env SIMM 2.0 Specification (50)
+
+
+Bug Fixes/Clean-up:
+
+	- SIMM 2.0 Margin Requirements Calculations (49)
+
+
+Samples:
+
+	- Interest Rate Risk Weights Shell (51, 52)
+	- Interest Rate Risk Weights Regular (53, 54)
+	- USD IR Risk Weights #1 (55, 56)
+	- USD IR Risk Weights #2 (57, 58)
+	- USD IR Risk Weights #3 (59, 60)
diff --git a/src/main/java/org/drip/sample/simm20/InterestRateRiskWeights.java b/src/main/java/org/drip/sample/simm20/InterestRateRiskWeights.java
@@ -0,0 +1,127 @@
+
+package org.drip.sample.simm20;
+
+import java.util.Map;
+
+import org.drip.quant.common.FormatUtil;
+import org.drip.service.env.EnvManager;
+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 -*-
+ */
+
+/*!
+ * Copyright (C) 2018 Lakshmi Krishnamurthy
+ * 
+ *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
+ *  	libraries targeting analysts and developers
+ *  	https://lakshmidrip.github.io/DRIP/
+ *  
+ *  DRIP is composed of four main libraries:
+ *  
+ *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
+ *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
+ *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
+ *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
+ * 
+ *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
+ *  	Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
+ *  	Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
+ *  	Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
+ *  	Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
+ * 
+ *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
+ *  	Incorporator, Holdings Constraint, and Transaction Costs.
+ * 
+ *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
+ * 
+ *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
+ * 
+ *  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.
+ */
+
+/**
+ * InterestRateRiskWeights demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency
+ * 	Interest Rate Tenor Risk Weights and Correlations. The References are:
+ *  
+ *  - 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, eSSRN.
+ *  
+ *  - Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin
+ *  	Calculations, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488, eSSRN.
+ *  
+ *  - 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, eSSRN.
+ *  
+ *  - 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, eSSRN.
+ *  
+ *  - International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology,
+ *  	https://www.isda.org/a/oFiDE/isda-simm-v2.pdf.
+ * 
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class InterestRateRiskWeights
+{
+
+	private static final void RegularVolatility()
+		throws Exception
+	{
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println ("\t||                  REGULAR VOLATILITY CURRENCY SET and RISK WEIGHTS                 ||");
+
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println (
+			"\t|| Currency Set => " +
+			InterestRateWeightSpecification.RegularVolatilityCurrencySet() + " ||"
+		);
+
+		System.out.println ("\t||-----------------------------------------------------------------------------------||");
+
+		System.out.println
+			("\t||------------------------------------------------------------------------------------------------------------------------------------------------------||");
+
+		InterestRateWeight usdRiskWeight = InterestRateWeightSpecification.RiskWeight ("USD");
+
+		String tenorWeightSequence = "\t|| ";
+
+		for (Map.Entry<String, Double> tenorWeightEntry : usdRiskWeight.tenorWeightMap().entrySet())
+		{
+			tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
+				FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
+		}
+
+		System.out.println (tenorWeightSequence + "|");
+
+		System.out.println
+			("\t||------------------------------------------------------------------------------------------------------------------------------------------------------||");
+	}
+
+	public final static void main (
+		final String[] args)
+		throws Exception
+	{
+		EnvManager.InitEnv ("");
+
+		RegularVolatility();
+
+		EnvManager.TerminateEnv();
+	}
+}
diff --git a/src/main/java/org/drip/sample/simm20/package-info.java b/src/main/java/org/drip/sample/simm20/package-info.java
@@ -0,0 +1,8 @@
+
+/**
+ * ISDA SIMM 2.0 Margin Requirement Calculations
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+package org.drip.sample.simm20;
diff --git a/src/main/java/org/drip/service/env/EnvManager.java b/src/main/java/org/drip/service/env/EnvManager.java
@@ -213,6 +213,13 @@ public static final java.sql.Statement InitEnv (
 			return null;
 		}
 
+		if (!org.drip.simm20.risk.InterestRateWeightSpecification.Init()) {
+			System.out.println
+				("EnvManager::InitEnv => Cannot Initialize SIMM 2.0 Interest Rate Weights Specification!");
+
+			return null;
+		}
+
 		if (s_bInvocationCapture)
 		{
 			if (!org.drip.service.env.InvocationManager.Setup())