Features:

- IR Class Sensitivity Settings - Shell (1) - IR Class Sensitivity Settings Delta (2) - IR Class Sensitivity Settings Vega (3) - IR Class Sensitivity Settings Constructor (4, 5, 6) - SIMM IR Sensitivity Margin Aggregate (7, 8) - Vega Aggregate Margin Bucket Map (12, 13) - Core Vega SBA Margin Variance (14, 15) - Residual Vega SBA Margin Variance (16, 17) - Risk Class SBA Vega Margin (18) - Risk Class Margin Aggregate #1 (19, 20) - Risk Class Margin Aggregate #2 (21, 22) - Risk Measure EQ Delta Settings (23, 24) - Equity Vega Sensitivity Settings Parameter (26, 27, 28) - Commodity Vega Sensitivity Settings Parameter (29, 30) - ISDA FX Vega Settings #1 (32, 33, 34) - ISDA FX Vega Settings #2 (35, 36, 37) - IR Risk Weight Tenor Delta (38, 39) - IR Weight Tenor Delta Vega (40, 41) - Tenor Vega Risk Weight #1 (42, 43) - Tenor Vega Risk Weight #2 (44) - IR ISDA Bucket Delta Settings (47) - IR ISDA Bucket Vega Settings (48, 49) - SIMM Bucket Vega Settings Shell (50) - SIMM Bucket Vega Risk Weight (51) - SIMM Bucket Vega Member Correlation (52) - SIMM Bucket Vega Implied Volatility (53) - SIMM Bucket Vega Settings Constructor (54, 55, 56) - Bucket Vega Raw Risk Weight (57) - Bucket Vega Settings Sensitivity Inheritance (58, 59) Bug Fixes/Clean-up: - Risk Factor Aggregate IR Margin (9) - Risk Class Bucket Delta Aggregate (10, 11) - Tenor Delta Weight Low Volatility (45, 46) Samples: - EQ Delta Initial Margin (25) - CT Delta Initial Margin (31)
lakshmiDRIP · Sep 10, 2018 · 014e248 · 014e248
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diff --git a/ReleaseNotes/08_16_2018.txt b/ReleaseNotes/08_16_2018.txt
@@ -0,0 +1,45 @@
+
+Features:
+
+	- IR Class Sensitivity Settings - Shell (1)
+	- IR Class Sensitivity Settings Delta (2)
+	- IR Class Sensitivity Settings Vega (3)
+	- IR Class Sensitivity Settings Constructor (4, 5, 6)
+	- SIMM IR Sensitivity Margin Aggregate (7, 8)
+	- Vega Aggregate Margin Bucket Map (12, 13)
+	- Core Vega SBA Margin Variance (14, 15)
+	- Residual Vega SBA Margin Variance (16, 17)
+	- Risk Class SBA Vega Margin (18)
+	- Risk Class Margin Aggregate #1 (19, 20)
+	- Risk Class Margin Aggregate #2 (21, 22)
+	- Risk Measure EQ Delta Settings (23, 24)
+	- Equity Vega Sensitivity Settings Parameter (26, 27, 28)
+	- Commodity Vega Sensitivity Settings Parameter (29, 30)
+	- ISDA FX Vega Settings #1 (32, 33, 34)
+	- ISDA FX Vega Settings #2 (35, 36, 37)
+	- IR Risk Weight Tenor Delta (38, 39)
+	- IR Weight Tenor Delta Vega (40, 41)
+	- Tenor Vega Risk Weight #1 (42, 43)
+	- Tenor Vega Risk Weight #2 (44)
+	- IR ISDA Bucket Delta Settings (47)
+	- IR ISDA Bucket Vega Settings (48, 49)
+	- SIMM Bucket Vega Settings Shell (50)
+	- SIMM Bucket Vega Risk Weight (51)
+	- SIMM Bucket Vega Member Correlation (52)
+	- SIMM Bucket Vega Implied Volatility (53)
+	- SIMM Bucket Vega Settings Constructor (54, 55, 56)
+	- Bucket Vega Raw Risk Weight (57)
+	- Bucket Vega Settings Sensitivity Inheritance (58, 59)
+
+
+Bug Fixes/Clean-up:
+
+	- Risk Factor Aggregate IR Margin (9)
+	- Risk Class Bucket Delta Aggregate (10, 11)
+	- Tenor Delta Weight Low Volatility (45, 46)
+
+
+Samples:
+
+	- EQ Delta Initial Margin (25)
+	- CT Delta Initial Margin (31)
diff --git a/src/main/java/org/drip/sample/simm20estimates/IRCurrencyDeltaMargin.java b/src/main/java/org/drip/sample/simm20estimates/IRCurrencyDeltaMargin.java
@@ -8,7 +8,7 @@
 
 import org.drip.quant.common.FormatUtil;
 import org.drip.service.env.EnvManager;
-import org.drip.simm20.margin.IRDeltaAggregate;
+import org.drip.simm20.margin.IRSensitivityAggregate;
 import org.drip.simm20.margin.RiskClassAggregateIR;
 import org.drip.simm20.parameters.RiskMeasureSensitivitySettingsIR;
 import org.drip.simm20.product.BucketSensitivityIR;
@@ -263,7 +263,7 @@ private static final void DisplayRiskClassAggregate (
 
 	private static final void DeltaMarginCovarianceEntry (
 		final String currency,
-		final IRDeltaAggregate irDeltaAggregate)
+		final IRSensitivityAggregate irDeltaAggregate)
 		throws Exception
 	{
 		double marginCovariance_OIS_OIS = irDeltaAggregate.marginCovariance_OIS_OIS();
@@ -542,7 +542,7 @@ public static final void main (
 
 		DeltaMarginCovarianceEntry (
 			currency,
-			riskClassAggregateIR.bucketAggregateMap().get (currency).irDeltaAggregate()
+			riskClassAggregateIR.deltaBucketAggregateMap().get (currency).irDeltaAggregate()
 		);
 
 		DisplayRiskClassAggregate (riskClassAggregateIR);

diff --git a/src/main/java/org/drip/sample/simm20estimates/IRCurrencyDeltaMarginFlow.java b/src/main/java/org/drip/sample/simm20estimates/IRCurrencyDeltaMarginFlow.java
@@ -7,7 +7,7 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.service.env.EnvManager;
 import org.drip.simm20.margin.BucketAggregateIR;
-import org.drip.simm20.margin.IRDeltaAggregate;
+import org.drip.simm20.margin.IRSensitivityAggregate;
 import org.drip.simm20.margin.RiskClassAggregateIR;
 import org.drip.simm20.parameters.BucketSensitivitySettingsIR;
 import org.drip.simm20.product.BucketSensitivityIR;
@@ -229,7 +229,7 @@ private static final void DisplayBucketSensitivityIR (
 	}
 
 	private static final void DeltaMarginCovarianceEntry (
-		final IRDeltaAggregate irDeltaAggregate)
+		final IRSensitivityAggregate irDeltaAggregate)
 		throws Exception
 	{
 		double marginCovariance_OIS_OIS = irDeltaAggregate.marginCovariance_OIS_OIS();
@@ -502,7 +502,7 @@ public static final void main (
 		double notional = 100.;
 		String currency = "USD";
 
-		BucketSensitivitySettingsIR bucketSensitivitySettingsIR = BucketSensitivitySettingsIR.ISDA
+		BucketSensitivitySettingsIR bucketSensitivitySettingsIR = BucketSensitivitySettingsIR.ISDA_DELTA
 			(currency);
 
 		BucketSensitivityIR bucketSensitivityIR = new BucketSensitivityIR (
@@ -519,7 +519,7 @@ public static final void main (
 
 		BucketAggregateIR bucketAggregateIR = bucketSensitivityIR.aggregate (bucketSensitivitySettingsIR);
 
-		IRDeltaAggregate irDeltaAggregate = bucketAggregateIR.riskFactorAggregateIR().deltaMargin
+		IRSensitivityAggregate irDeltaAggregate = bucketAggregateIR.riskFactorAggregateIR().margin
 			(bucketSensitivitySettingsIR);
 
 		DeltaMarginCovarianceEntry (irDeltaAggregate);
@@ -533,7 +533,10 @@ public static final void main (
 
 		RiskClassAggregateIR riskClassAggregateIR = new RiskClassAggregateIR (
 			bucketAggregateIRMap,
+			null,
 			irDeltaAggregate.cumulativeMarginCovariance(),
+			0.,
+			0.,
 			0.
 		);
 

diff --git a/src/main/java/org/drip/sample/simm20estimates/IRDeltaMargin.java b/src/main/java/org/drip/sample/simm20estimates/IRDeltaMargin.java
@@ -8,7 +8,7 @@
 
 import org.drip.quant.common.FormatUtil;
 import org.drip.service.env.EnvManager;
-import org.drip.simm20.margin.IRDeltaAggregate;
+import org.drip.simm20.margin.IRSensitivityAggregate;
 import org.drip.simm20.margin.RiskClassAggregateIR;
 import org.drip.simm20.parameters.RiskMeasureSensitivitySettingsIR;
 import org.drip.simm20.product.BucketSensitivityIR;
@@ -233,7 +233,7 @@ private static final void DisplayBucketSensitivityIR (
 
 	private static final void DeltaMarginCovarianceEntry (
 		final String currency,
-		final IRDeltaAggregate irDeltaAggregate)
+		final IRSensitivityAggregate irDeltaAggregate)
 		throws Exception
 	{
 		double marginCovariance_OIS_OIS = irDeltaAggregate.marginCovariance_OIS_OIS();
@@ -574,7 +574,7 @@ public static final void main (
 		{
 			DeltaMarginCovarianceEntry (
 				currency,
-				riskClassAggregateIR.bucketAggregateMap().get (currency).irDeltaAggregate()
+				riskClassAggregateIR.deltaBucketAggregateMap().get (currency).irDeltaAggregate()
 			);
 		}
 

diff --git a/src/main/java/org/drip/sample/simm20settings/InterestRateSettings.java b/src/main/java/org/drip/sample/simm20settings/InterestRateSettings.java
@@ -105,7 +105,7 @@ private static final void RegularVolatility()
 
 		String tenorWeightSequence = "\t|| ";
 
-		for (Map.Entry<String, Double> tenorWeightEntry : usdRiskWeight.tenorWeightMap().entrySet())
+		for (Map.Entry<String, Double> tenorWeightEntry : usdRiskWeight.tenorDelta().entrySet())
 		{
 			tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
 				FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
@@ -142,7 +142,7 @@ private static final void LowVolatility()
 
 		String tenorWeightSequence = "\t|| ";
 
-		for (Map.Entry<String, Double> tenorWeightEntry : jpyRiskWeight.tenorWeightMap().entrySet())
+		for (Map.Entry<String, Double> tenorWeightEntry : jpyRiskWeight.tenorDelta().entrySet())
 		{
 			tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
 				FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";
@@ -179,7 +179,7 @@ private static final void HighVolatility()
 
 		String tenorWeightSequence = "\t|| ";
 
-		for (Map.Entry<String, Double> tenorWeightEntry : inrRiskWeight.tenorWeightMap().entrySet())
+		for (Map.Entry<String, Double> tenorWeightEntry : inrRiskWeight.tenorDelta().entrySet())
 		{
 			tenorWeightSequence = tenorWeightSequence + " " + tenorWeightEntry.getKey() + " => " +
 				FormatUtil.FormatDouble (tenorWeightEntry.getValue(), 1, 0, 1.) + " |";

diff --git a/src/main/java/org/drip/simm20/margin/BucketAggregateIR.java b/src/main/java/org/drip/simm20/margin/BucketAggregateIR.java
@@ -72,7 +72,7 @@
 public class BucketAggregateIR
 {
 	private double _sensitivityMarginVariance = java.lang.Double.NaN;
-	private org.drip.simm20.margin.IRDeltaAggregate _irDeltaAggregate = null;
+	private org.drip.simm20.margin.IRSensitivityAggregate _irDeltaAggregate = null;
 	private double _cumulativeRiskFactorSensitivityMargin = java.lang.Double.NaN;
 	private org.drip.simm20.margin.RiskFactorAggregateIR _riskFactorAggregateIR = null;
 
@@ -89,7 +89,7 @@ public class BucketAggregateIR
 
 	public BucketAggregateIR (
 		final org.drip.simm20.margin.RiskFactorAggregateIR riskFactorAggregateIR,
-		final org.drip.simm20.margin.IRDeltaAggregate irDeltaAggregate,
+		final org.drip.simm20.margin.IRSensitivityAggregate irDeltaAggregate,
 		final double sensitivityMarginVariance,
 		final double cumulativeRiskFactorSensitivityMargin)
 		throws java.lang.Exception
@@ -122,7 +122,7 @@ public org.drip.simm20.margin.RiskFactorAggregateIR riskFactorAggregateIR()
 	 * @return The IR Delta Aggregate
 	 */
 
-	public org.drip.simm20.margin.IRDeltaAggregate irDeltaAggregate()
+	public org.drip.simm20.margin.IRSensitivityAggregate irDeltaAggregate()
 	{
 		return _irDeltaAggregate;
 	}

diff --git a/.../drip/simm20/margin/IRDeltaAggregate.java → ...simm20/margin/IRSensitivityAggregate.java b/.../drip/simm20/margin/IRDeltaAggregate.java → ...simm20/margin/IRSensitivityAggregate.java
@@ -47,8 +47,9 @@
  */
 
 /**
- * IRDeltaAggregate holds the IM Delta Margin Co-variances within a single Currency for each of the IR Risk
- *  Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL. The References are:
+ * IRSensitivityAggregate holds the IM Margin Sensitivity Co-variances within a single Currency for each of
+ *  the IR Risk Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL. 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.
@@ -69,7 +70,7 @@
  * @author Lakshmi Krishnamurthy
  */
 
-public class IRDeltaAggregate
+public class IRSensitivityAggregate
 {
 	private double _marginCovariance_OIS_OIS = java.lang.Double.NaN;
 	private double _marginCovariance_OIS_PRIME = java.lang.Double.NaN;
@@ -109,6 +110,8 @@ public class IRDeltaAggregate
 	private double _cumulativeMarginSensitivity = java.lang.Double.NaN;
 
 	/**
+	 * IRSensitivityAggregate Constructor
+	 * 
 	 * @param marginCovariance_OIS_OIS The OIS - OIS Margin Co-variance
 	 * @param marginCovariance_OIS_LIBOR1M The OIS - LIBOR1M Margin Co-variance
 	 * @param marginCovariance_OIS_LIBOR3M The OIS - LIBOR3M Margin Co-variance
@@ -142,7 +145,7 @@ public class IRDeltaAggregate
 	 * @throws java.lang.Exception Thrown if the Inputs are Invalid
 	 */
 
-	public IRDeltaAggregate (
+	public IRSensitivityAggregate (
 		final double marginCovariance_OIS_OIS,
 		final double marginCovariance_OIS_LIBOR1M,
 		final double marginCovariance_OIS_LIBOR3M,
@@ -233,7 +236,7 @@ public IRDeltaAggregate (
 			!org.drip.quant.common.NumberUtil.IsValid (_cumulativeMarginSensitivity =
 				cumulativeMarginSensitivity))
 		{
-			throw new java.lang.Exception ("IRDeltaAggregate Constructor => Invalid Inputs");
+			throw new java.lang.Exception ("IRSensitivityAggregate Constructor => Invalid Inputs");
 		}
 	}
 

diff --git a/src/main/java/org/drip/simm20/margin/RiskClassAggregate.java b/src/main/java/org/drip/simm20/margin/RiskClassAggregate.java
@@ -71,44 +71,72 @@
 
 public class RiskClassAggregate
 {
+	private double _coreVegaSBAVariance = java.lang.Double.NaN;
 	private double _coreDeltaSBAVariance = java.lang.Double.NaN;
+	private double _residualVegaSBAVariance = java.lang.Double.NaN;
 	private double _residualDeltaSBAVariance = java.lang.Double.NaN;
-	private java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate> _bucketAggregateMap =
+	private java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate> _vegaBucketAggregateMap =
+		null;
+	private java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate> _deltaBucketAggregateMap =
 		null;
 
 	/**
 	 * RiskClassAggregate Constructor
 	 * 
-	 * @param bucketAggregateMap The Bucket Aggregate Map
+	 * @param deltaBucketAggregateMap The Delta Bucket Aggregate Map
+	 * @param vegaBucketAggregateMap The Vega Bucket Aggregate Map
 	 * @param coreDeltaSBAVariance The SBA Based Risk Class Core Delta Variance
+	 * @param coreVegaSBAVariance The SBA Based Risk Class Core Vega Variance
 	 * @param residualDeltaSBAVariance The SBA Based Risk Class Residual Delta Variance
+	 * @param residualVegaSBAVariance The SBA Based Risk Class Residual Vega Variance
 	 * 
 	 * @throws java.lang.Exception Thrown if the Inputs are Invalid
 	 */
 
 	public RiskClassAggregate (
-		final java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate> bucketAggregateMap,
+		final java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate>
+			deltaBucketAggregateMap,
+		final java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate>
+			vegaBucketAggregateMap,
 		final double coreDeltaSBAVariance,
-		final double residualDeltaSBAVariance)
+		final double coreVegaSBAVariance,
+		final double residualDeltaSBAVariance,
+		final double residualVegaSBAVariance)
 		throws java.lang.Exception
 	{
-		if (null == (_bucketAggregateMap = bucketAggregateMap) || 0 == _bucketAggregateMap.size() ||
-			!org.drip.quant.common.NumberUtil.IsValid (_coreDeltaSBAVariance = coreDeltaSBAVariance) ||
-			!org.drip.quant.common.NumberUtil.IsValid (_residualDeltaSBAVariance = residualDeltaSBAVariance))
+		if (!org.drip.quant.common.NumberUtil.IsValid (_coreDeltaSBAVariance = coreDeltaSBAVariance) ||
+			!org.drip.quant.common.NumberUtil.IsValid (_coreVegaSBAVariance = coreVegaSBAVariance) ||
+			!org.drip.quant.common.NumberUtil.IsValid (_residualDeltaSBAVariance = residualDeltaSBAVariance)
+			||
+			!org.drip.quant.common.NumberUtil.IsValid (_residualVegaSBAVariance = residualVegaSBAVariance))
 		{
 			throw new java.lang.Exception ("RiskClassAggregate Constructor => Invalid Inputs");
 		}
+
+		_vegaBucketAggregateMap = vegaBucketAggregateMap;
+		_deltaBucketAggregateMap = deltaBucketAggregateMap;
 	}
 
 	/**
-	 * Retrieve the Bucket Aggregate Map
+	 * Retrieve the Delta Bucket Aggregate Map
 	 * 
-	 * @return The Bucket Aggregate Map
+	 * @return The Delta Bucket Aggregate Map
 	 */
 
-	public java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate> bucketAggregateMap()
+	public java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate> deltaBucketAggregateMap()
 	{
-		return _bucketAggregateMap;
+		return _deltaBucketAggregateMap;
+	}
+
+	/**
+	 * Retrieve the Vega Bucket Aggregate Map
+	 * 
+	 * @return The Vega Bucket Aggregate Map
+	 */
+
+	public java.util.Map<java.lang.String, org.drip.simm20.margin.BucketAggregate> vegaBucketAggregateMap()
+	{
+		return _vegaBucketAggregateMap;
 	}
 
 	/**
@@ -122,6 +150,17 @@ public double coreDeltaSBAVariance()
 		return _coreDeltaSBAVariance;
 	}
 
+	/**
+	 * Retrieve the Risk Class Core Vega Margin Variance
+	 * 
+	 * @return The Risk Class Core Vega Margin Variance
+	 */
+
+	public double coreVegaSBAVariance()
+	{
+		return _coreVegaSBAVariance;
+	}
+
 	/**
 	 * Retrieve the Risk Class Residual Delta Margin Variance
 	 * 
@@ -133,6 +172,17 @@ public double residualDeltaSBAVariance()
 		return _residualDeltaSBAVariance;
 	}
 
+	/**
+	 * Retrieve the Risk Class Residual Vega Margin Variance
+	 * 
+	 * @return The Risk Class Residual Vega Margin Variance
+	 */
+
+	public double residualVegaSBAVariance()
+	{
+		return _residualVegaSBAVariance;
+	}
+
 	/**
 	 * Retrieve the Risk Class SBA Based Delta Margin
 	 * 
@@ -143,4 +193,15 @@ public double deltaSBA()
 	{
 		return java.lang.Math.sqrt (_coreDeltaSBAVariance) + java.lang.Math.sqrt (_residualDeltaSBAVariance);
 	}
+
+	/**
+	 * Retrieve the Risk Class SBA Based Vega Margin
+	 * 
+	 * @return The Risk Class SBA Based Vega Margin
+	 */
+
+	public double vegaSBA()
+	{
+		return java.lang.Math.sqrt (_coreVegaSBAVariance) + java.lang.Math.sqrt (_residualVegaSBAVariance);
+	}
 }