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())