Features:

	- Risk Class Sensitivity Aggregate #1 (1, 2)
	- Risk Class Sensitivity Aggregate #2 (3, 4)
	- Risk Class Sensitivity Aggregate #3 (5, 6)
	- Risk Class Sensitivity Aggregate #4 (7, 8)
	- Risk Class Sensitivity Aggregate #5 (9, 10)
	- Bucket Aggregate Bounded Weighted Sensitivity (11, 12)
	- Risk Class Sensitivity Aggregate #6 (13, 14)
	- Risk Class Sensitivity Aggregate #7 (15, 16)
	- SIMM 2.0 Risk Factor Aggregate Margin (25)
	- Equity Delta Vega Threshold Map (26, 27)
	- Equity Bucket Risk Weight Correlation (28, 29)
	- Equity Risk Cross Bucket Correlation (30)
	- Residual Equity Bucket Settings Entry (31)
	- ISDA Bucket Sensitivity Settings Map (32, 33)
	- Equity Bucket Delta Risk Weight (34, 35)


Bug Fixes/Clean-up:

Samples:

	- FX Delta Margin #1 (17, 18)
	- FX Delta Margin #2 (19, 20)
	- FX Delta Margin #3 (21, 22)
	- FX Delta Margin #4 (23, 24)

ReleaseNotes/08_02_2018.txt

@@ -0,0 +1,28 @@
+
+Features:
+
+	- Risk Class Sensitivity Aggregate #1 (1, 2)
+	- Risk Class Sensitivity Aggregate #2 (3, 4)
+	- Risk Class Sensitivity Aggregate #3 (5, 6)
+	- Risk Class Sensitivity Aggregate #4 (7, 8)
+	- Risk Class Sensitivity Aggregate #5 (9, 10)
+	- Bucket Aggregate Bounded Weighted Sensitivity (11, 12)
+	- Risk Class Sensitivity Aggregate #6 (13, 14)
+	- Risk Class Sensitivity Aggregate #7 (15, 16)
+	- SIMM 2.0 Risk Factor Aggregate Margin (25)
+	- Equity Delta Vega Threshold Map (26, 27)
+	- Equity Bucket Risk Weight Correlation (28, 29)
+	- Equity Risk Cross Bucket Correlation (30)
+	- Residual Equity Bucket Settings Entry (31)
+	- ISDA Bucket Sensitivity Settings Map (32, 33)
+	- Equity Bucket Delta Risk Weight (34, 35)
+
+
+Bug Fixes/Clean-up:
+
+Samples:
+
+	- FX Delta Margin #1 (17, 18)
+	- FX Delta Margin #2 (19, 20)
+	- FX Delta Margin #3 (21, 22)
+	- FX Delta Margin #4 (23, 24)

src/main/java/org/drip/sample/simm20estimates/FXDeltaMargin.java

@@ -11,6 +11,7 @@
 import org.drip.simm20.margin.BucketAggregate;
 import org.drip.simm20.parameters.RiskClassSensitivitySettings;
 import org.drip.simm20.product.BucketSensitivity;
+import org.drip.simm20.product.RiskClassSensitivity;
 
 /*
  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
@@ -213,6 +214,8 @@ public static final void main (
 
 		CategoryRiskFactorSensitivity (categorySensitivityMap);
 
+		Map<Integer, BucketSensitivity> bucketSensitivityMap = new TreeMap<Integer, BucketSensitivity>();
+
 		System.out.println ("\t|--------------------||");
 
 		System.out.println ("\t|  BUCKET AGGREGATE  ||");
@@ -237,20 +240,40 @@ public static final void main (
 			BucketSensitivity bucketSensitivity = new BucketSensitivity
 				(categorySensitivityMapEntry.getValue());
 
-			BucketAggregate bucketDigest = bucketSensitivity.augment
-				(riskClassSensitivitySettings.bucketSettingsMap().get (bucketIndex));
+			bucketSensitivityMap.put (
+				bucketIndex,
+				bucketSensitivity
+			);
+
+			BucketAggregate bucketDigest = bucketSensitivity.aggregate
+				(riskClassSensitivitySettings.bucketSensitivitySettingsMap().get (bucketIndex));
 
 			System.out.println ("\t| " +
 				bucketIndex + " => " +
 				FormatUtil.FormatDouble (Math.sqrt (bucketDigest.weightedSensitivityVariance()), 4, 0, 1.) + " | " +
-				FormatUtil.FormatDouble (bucketDigest.cumulativeRiskFactorSensitivity(), 4, 0, 1.) + " ||" 
+				FormatUtil.FormatDouble (bucketDigest.cumulativeRiskFactorSensitivity(), 4, 0, 1.) + " ||"
 			);
 		}
 
 		System.out.println ("\t|--------------------||");
 
 		System.out.println();
 
+		System.out.println ("\t|----------------------------------||");
+
+		System.out.println ("\t| RISK CLASS DELTA MARGIN => " +
+			FormatUtil.FormatDouble (
+				Math.sqrt (
+					new RiskClassSensitivity (bucketSensitivityMap).aggregate
+						(riskClassSensitivitySettings).deltaSBA()
+				),
+			4, 0, 1.) + " ||"
+		);
+
+		System.out.println ("\t|----------------------------------||");
+
+		System.out.println();
+
 		EnvManager.TerminateEnv();
 	}
 }

src/main/java/org/drip/sample/simm20settings/EquitySettings.java

@@ -142,7 +142,7 @@ private static final void RiskWeights()
 				"\t||" + FormatUtil.FormatDouble (equityBucket.number(), 2, 0, 1.) + " | " +
 				equityBucket.size() + " | " +
 				equityBucket.region() + " | " +
-				FormatUtil.FormatDouble (equityBucket.riskWeight(), 3, 0, 1.) + " | " +
+				FormatUtil.FormatDouble (equityBucket.deltaRiskWeight(), 3, 0, 1.) + " | " +
 				FormatUtil.FormatDouble (equityBucket.memberCorrelation(), 2, 0, 100.) + "% | " +
 				FormatUtil.FormatDouble (equityBucket.vegaRiskWeight(), 1, 2, 1.) + " | {" +
 				sectorArrayDump + "}"

src/main/java/org/drip/simm20/equity/EQBucket.java

@@ -75,8 +75,8 @@ public class EQBucket
 	private java.lang.String _size = "";
 	private java.lang.String _region = "";
 	private java.lang.String[] _sectorArray = null;
-	private double _riskWeight = java.lang.Double.NaN;
 	private double _vegaRiskWeight = java.lang.Double.NaN;
+	private double _deltaRiskWeight = java.lang.Double.NaN;
 	private double _memberCorrelation = java.lang.Double.NaN;
 
 	/**
@@ -86,9 +86,9 @@ public class EQBucket
 	 * @param size Bucket Equity Market Capitalization Size
 	 * @param region Buket Region
 	 * @param sectorArray Bucket Sector Array
-	 * @param riskWeight Bucket Risk Weight
+	 * @param deltaRiskWeight Bucket Delta Risk Weight
 	 * @param memberCorrelation Bucket Member Correlation
-	 * @param vegaRiskWeight The Vega Risk Weight
+	 * @param vegaRiskWeight The Bucket Vega Risk Weight
 	 * 
 	 * @throws java.lang.Exception Thrown if the Inputs are Invalid
 	 */
@@ -98,15 +98,15 @@ public EQBucket (
 		final java.lang.String size,
 		final java.lang.String region,
 		final java.lang.String[] sectorArray,
-		final double riskWeight,
+		final double deltaRiskWeight,
 		final double memberCorrelation,
 		final double vegaRiskWeight)
 		throws java.lang.Exception
 	{
 		if (null == (_size = size) || _size.isEmpty() ||
 			null == (_region = region) || _region.isEmpty() ||
 			null == (_sectorArray = sectorArray) || 0 == _sectorArray.length ||
-			!org.drip.quant.common.NumberUtil.IsValid (_riskWeight = riskWeight) ||
+			!org.drip.quant.common.NumberUtil.IsValid (_deltaRiskWeight = deltaRiskWeight) ||
 			!org.drip.quant.common.NumberUtil.IsValid (_memberCorrelation = memberCorrelation) ||
 			!org.drip.quant.common.NumberUtil.IsValid (_vegaRiskWeight = vegaRiskWeight))
 		{
@@ -161,14 +161,14 @@ public java.lang.String[] sectorArray()
 	}
 
 	/**
-	 * Retrieve the Bucket Risk Weight
+	 * Retrieve the Bucket Delta Risk Weight
 	 * 
-	 * @return The Bucket Risk Weight
+	 * @return The Bucket Delta Risk Weight
 	 */
 
-	public double riskWeight()
+	public double deltaRiskWeight()
 	{
-		return _riskWeight;
+		return _deltaRiskWeight;
 	}
 
 	/**

src/main/java/org/drip/simm20/margin/BucketAggregate.java

@@ -73,7 +73,7 @@ public class BucketAggregate
 {
 	private double _weightedSensitivityVariance = java.lang.Double.NaN;
 	private double _cumulativeRiskFactorSensitivity = java.lang.Double.NaN;
-	private java.util.Map<java.lang.String, org.drip.simm20.margin.AugmentedRiskFactorSensitivity>
+	private java.util.Map<java.lang.String, org.drip.simm20.margin.RiskFactorAggregate>
 		_augmentedRiskFactorSensitivityMap = null;
 
 	/**
@@ -87,7 +87,7 @@ public class BucketAggregate
 	 */
 
 	public BucketAggregate (
-		final java.util.Map<java.lang.String, org.drip.simm20.margin.AugmentedRiskFactorSensitivity>
+		final java.util.Map<java.lang.String, org.drip.simm20.margin.RiskFactorAggregate>
 			augmentedRiskFactorSensitivityMap,
 		final double weightedSensitivityVariance,
 		final double cumulativeRiskFactorSensitivity)
@@ -110,7 +110,7 @@ public BucketAggregate (
 	 * @return The Augmented Risk Factor Sensitivity Map
 	 */
 
-	public java.util.Map<java.lang.String, org.drip.simm20.margin.AugmentedRiskFactorSensitivity>
+	public java.util.Map<java.lang.String, org.drip.simm20.margin.RiskFactorAggregate>
 		augmentedRiskFactorSensitivityMap()
 	{
 		return _augmentedRiskFactorSensitivityMap;
@@ -137,4 +137,23 @@ public double cumulativeRiskFactorSensitivity()
 	{
 		return _cumulativeRiskFactorSensitivity;
 	}
+
+	/**
+	 * Compute the Bounded Weighted Sensitivity
+	 * 
+	 * @return The Bounded Weighted Sensitivity
+	 */
+
+	public double boundedWeightedSensitivity()
+	{
+		double weightedSensitivity = java.lang.Math.sqrt (_weightedSensitivityVariance);
+
+		return java.lang.Math.max (
+			java.lang.Math.min (
+				_cumulativeRiskFactorSensitivity,
+				weightedSensitivity
+			),
+			-1. * weightedSensitivity
+		);
+	}
 }

src/main/java/org/drip/simm20/margin/AugmentedRiskFactorSensitivity.java → src/main/java/org/drip/simm20/margin/RiskFactorAggregate.java

@@ -47,8 +47,8 @@
  */
 
 /**
- * AugmentedRiskFactorSensitivity holds the Weighted and Normalized Bucket Risk Factor Sensitivity along with
- *  the Normalization Factors. The References are:
+ * RiskFactorAggregate holds the Weighted and Normalized Bucket Risk Factor Sensitivity along with the
+ *  Normalization Factors. 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.
@@ -69,29 +69,29 @@
  * @author Lakshmi Krishnamurthy
  */
 
-public class AugmentedRiskFactorSensitivity
+public class RiskFactorAggregate
 {
 	private double _weightedAndNormalized = java.lang.Double.NaN;
 	private double _concentrationRiskFactor = java.lang.Double.NaN;
 
 	/**
-	 * AugmentedRiskFactorSensitivity Constructor
+	 * RiskFactorAggregate Constructor
 	 * 
 	 * @param weightedAndNormalized The Weighted and Normalized Bucket Sensitivity
 	 * @param concentrationRiskFactor The Bucket Concentration Risk Factor
 	 * 
 	 * @throws java.lang.Exception Thrown if the Inputs are Invalid
 	 */
 
-	public AugmentedRiskFactorSensitivity (
+	public RiskFactorAggregate (
 		final double weightedAndNormalized,
 		final double concentrationRiskFactor)
 		throws java.lang.Exception
 	{
 		if (!org.drip.quant.common.NumberUtil.IsValid (_weightedAndNormalized = weightedAndNormalized) ||
 			!org.drip.quant.common.NumberUtil.IsValid (_concentrationRiskFactor = concentrationRiskFactor))
 		{
-			throw new java.lang.Exception ("AugmentedRiskFactorSensitivity Constructor => Invalid Inputs");
+			throw new java.lang.Exception ("RiskFactorAggregate Constructor => Invalid Inputs");
 		}
 	}
 

src/main/java/org/drip/simm20/parameters/EQSensitivitySettings.java

@@ -98,7 +98,7 @@ public static final EQSensitivitySettings ISDA()
 			bucketSettingsMap.put (
 				-1,
 				new org.drip.simm20.parameters.EQBucketSensitivitySettings (
-					bucketMap.get (-1).riskWeight(),
+					bucketMap.get (-1).deltaRiskWeight(),
 					deltaVegaRiskMap.get (-1).delta()
 				)
 			);
@@ -108,7 +108,7 @@ public static final EQSensitivitySettings ISDA()
 				bucketSettingsMap.put (
 					i,
 					new org.drip.simm20.parameters.EQBucketSensitivitySettings (
-						bucketMap.get (i).riskWeight(),
+						bucketMap.get (i).deltaRiskWeight(),
 						deltaVegaRiskMap.get (i).delta()
 					)
 				);

src/main/java/org/drip/simm20/parameters/FlatSensitivitySettings.java

@@ -94,7 +94,7 @@ public static final FlatSensitivitySettings EQ (
 		{
 			return null == equityBucket || null == deltaVegaThreshold ? null :
 				new FlatSensitivitySettings (
-					equityBucket.riskWeight(),
+					equityBucket.deltaRiskWeight(),
 					deltaVegaThreshold.delta()
 				);
 		}