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Bug Fixes/Re-organization:

	- SIMM Credit CRQ Settings Container 2.0 - Init (1, 2, 3)
	- SIMM Credit CRQ Settings Container 2.0 - Tenor Set (4, 5)
	- SIMM Credit CRQ Settings Container 2.0 - Bucket Set (6)
	- SIMM Credit CRQ Settings Container 2.0 - Contains Bucket (7)
	- SIMM Credit CRQ Settings Container 2.0 - Bucket (8)
	- SIMM Credit CRQ Settings Container 2.1 (9, 10, 11)
	- SIMM Credit CRQ Settings Container 2.1 - Init #1 (12, 13, 14)
	- SIMM Credit CRQ Settings Container 2.1 - Init #2 (15, 16, 17)
	- SIMM Credit CRQ Settings Container 2.1 - Tenor Set (18, 19)
	- SIMM Credit CRQ Settings Container 2.1 - Bucket Set (20)
	- SIMM Credit CRQ Settings Container 2.1 - Contains Bucket (21)
	- SIMM Credit CRQ Settings Container 2.1 - Bucket (22)
	- SIMM Credit CRQ Settings Container 2.4 (23, 24, 25)
	- SIMM Credit CRQ Settings Container 2.4 - Cross Bucket Correlation (26, 27)
	- SIMM Credit CRQ Settings Container 2.4 - Bucket Map (28, 29)
	- SIMM Credit CRQ Settings Container 2.4 - Set Up Cross Bucket Correlation #1 (30, 31, 32)
	- SIMM Credit CRQ Settings Container 2.4 - Set Up Cross Bucket Correlation #2 (33, 34, 35)
	- SIMM Credit CRQ Settings Container 2.4 - Init #1 (36, 37, 38)
	- SIMM Credit CRQ Settings Container 2.4 - Init #2 (39, 40, 41)
	- SIMM Credit CRQ Settings Container 2.4 - Tenor Set (42, 43, 44)
	- SIMM Credit CRQ Settings Container 2.4 - Bucket Set (45)
	- SIMM Credit CRQ Settings Container 2.4 - Contains Bucket (46)
	- SIMM Credit CRQ Settings Container 2.4 - Bucket (47)
	- SIMM Credit CRQ Systemics 2.0 (48, 49)
	- SIMM Credit CRQ Systemics 2.0 Residual Bucket - Risk Weight (50)
	- SIMM Credit CRQ Systemics 2.0 Qualifying Vega Risk Weight (51)
	- SIMM Credit CRQ Systemics 2.0 Base Correlation - Risk Weight (52)
	- SIMM Credit CRQ Systemics 2.0 Base Correlation - Correlation across Index Families (53)
	- SIMM Credit CRQ Systemics 2.1 (54, 55)
	- SIMM Credit CRQ Systemics 2.1 Residual Bucket - Risk Weight (56)
	- SIMM Credit CRQ Systemics 2.1 Qualifying Vega Risk Weight (57)
	- SIMM Credit CRQ Systemics 2.1 Base Correlation - Risk Weight (58)
	- SIMM Credit CRQ Systemics 2.1 Base Correlation - Correlation across Index Families (59)
	- SIMM Credit CRQ Systemics 2.4 (60)


Samples:

IdeaDRIP:
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@Lakshmik
Lakshmik committed Jun 8, 2024
1 parent e69a3e7 commit 5c4106b
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Showing 8 changed files with 221 additions and 268 deletions.
44 changes: 44 additions & 0 deletions ReleaseNotes/12_07_2023.txt
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@@ -0,0 +1,44 @@

Features:

Bug Fixes/Re-organization:

- SIMM Credit CRQ Settings Container 2.0 - Init (1, 2, 3)
- SIMM Credit CRQ Settings Container 2.0 - Tenor Set (4, 5)
- SIMM Credit CRQ Settings Container 2.0 - Bucket Set (6)
- SIMM Credit CRQ Settings Container 2.0 - Contains Bucket (7)
- SIMM Credit CRQ Settings Container 2.0 - Bucket (8)
- SIMM Credit CRQ Settings Container 2.1 (9, 10, 11)
- SIMM Credit CRQ Settings Container 2.1 - Init #1 (12, 13, 14)
- SIMM Credit CRQ Settings Container 2.1 - Init #2 (15, 16, 17)
- SIMM Credit CRQ Settings Container 2.1 - Tenor Set (18, 19)
- SIMM Credit CRQ Settings Container 2.1 - Bucket Set (20)
- SIMM Credit CRQ Settings Container 2.1 - Contains Bucket (21)
- SIMM Credit CRQ Settings Container 2.1 - Bucket (22)
- SIMM Credit CRQ Settings Container 2.4 (23, 24, 25)
- SIMM Credit CRQ Settings Container 2.4 - Cross Bucket Correlation (26, 27)
- SIMM Credit CRQ Settings Container 2.4 - Bucket Map (28, 29)
- SIMM Credit CRQ Settings Container 2.4 - Set Up Cross Bucket Correlation #1 (30, 31, 32)
- SIMM Credit CRQ Settings Container 2.4 - Set Up Cross Bucket Correlation #2 (33, 34, 35)
- SIMM Credit CRQ Settings Container 2.4 - Init #1 (36, 37, 38)
- SIMM Credit CRQ Settings Container 2.4 - Init #2 (39, 40, 41)
- SIMM Credit CRQ Settings Container 2.4 - Tenor Set (42, 43, 44)
- SIMM Credit CRQ Settings Container 2.4 - Bucket Set (45)
- SIMM Credit CRQ Settings Container 2.4 - Contains Bucket (46)
- SIMM Credit CRQ Settings Container 2.4 - Bucket (47)
- SIMM Credit CRQ Systemics 2.0 (48, 49)
- SIMM Credit CRQ Systemics 2.0 Residual Bucket - Risk Weight (50)
- SIMM Credit CRQ Systemics 2.0 Qualifying Vega Risk Weight (51)
- SIMM Credit CRQ Systemics 2.0 Base Correlation - Risk Weight (52)
- SIMM Credit CRQ Systemics 2.0 Base Correlation - Correlation across Index Families (53)
- SIMM Credit CRQ Systemics 2.1 (54, 55)
- SIMM Credit CRQ Systemics 2.1 Residual Bucket - Risk Weight (56)
- SIMM Credit CRQ Systemics 2.1 Qualifying Vega Risk Weight (57)
- SIMM Credit CRQ Systemics 2.1 Base Correlation - Risk Weight (58)
- SIMM Credit CRQ Systemics 2.1 Base Correlation - Correlation across Index Families (59)
- SIMM Credit CRQ Systemics 2.4 (60)


Samples:

IdeaDRIP:
Binary file modified ScheduleSheet.xlsx
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43 changes: 15 additions & 28 deletions src/main/java/org/drip/simm/credit/CRQSettingsContainer20.java
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Original file line number Diff line number Diff line change
Expand Up @@ -121,10 +121,13 @@
* It provides the following Functionality:
*
* <ul>
* <li>Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Regular Bucket</li>
* <li>Correlation between Sensitivities having Different Issuer/Seniority falling under Same Regular Bucket</li>
* <li>Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Residual Bucket</li>
* <li>Correlation between Sensitivities having Different Issuer/Seniority falling under Same Residual Bucket</li>
* <li>Initialize the Credit Qualifying Settings</li>
* <li>Retrieve the Standard ISDA Credit Tenor Set</li>
* <li>Retrieve the Set of Bucket Indexes available</li>
* <li>Indicate if the Bucket denoted by the Number is available</li>
* <li>Retrieve the Bucket denoted by the Number</li>
* <li>Retrieve the Cross Bucket Correlation</li>
* <li>Retrieve the Bucket Map</li>
* </ul>
*
* <br>
Expand Down Expand Up @@ -201,7 +204,7 @@ private static final boolean SetUpCrossBucketCorrelation()
}

/**
* Initial the Credit Qualifying Settings
* Initialize the Credit Qualifying Settings
*
* @return TRUE - The Credit Qualifying Settings successfully initialized
*/
Expand Down Expand Up @@ -327,25 +330,15 @@ public static final Set<String> TenorSet()
{
Set<String> tenorSet = new HashSet<String>();

tenorSet.add (
"1Y"
);
tenorSet.add ("1Y");

tenorSet.add (
"2Y"
);
tenorSet.add ("2Y");

tenorSet.add (
"3Y"
);
tenorSet.add ("3Y");

tenorSet.add (
"5Y"
);
tenorSet.add ("5Y");

tenorSet.add (
"10Y"
);
tenorSet.add ("10Y");

return tenorSet;
}
Expand All @@ -372,9 +365,7 @@ public static final Set<Integer> BucketSet()
public static final boolean ContainsBucket (
final int bucketNumber)
{
return s_BucketMap.containsKey (
bucketNumber
);
return s_BucketMap.containsKey (bucketNumber);
}

/**
Expand All @@ -388,11 +379,7 @@ public static final boolean ContainsBucket (
public static final CRBucket Bucket (
final int bucketNumber)
{
return ContainsBucket (
bucketNumber
) ? s_BucketMap.get (
bucketNumber
) : null;
return ContainsBucket (bucketNumber) ? s_BucketMap.get (bucketNumber) : null;
}

/**
Expand Down
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