quantark 0.1.0__py3-none-any.whl

quantark/simm/calibration/credit_qualifying.py

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+"""
+Credit Qualifying Calibration Parameters for SIMM v2.6
+
+This module contains all Credit Qualifying (CreditQ) calibration parameters as
+specified in ISDA SIMM v2.6, effective December 2, 2023.
+
+References:
+    - ISDA SIMM Methodology, Version 2.6, Section 2.2 (Credit Qualifying Risk)
+"""
+
+import numpy as np
+
+
+# ============================================================================
+# RISK WEIGHTS
+# ============================================================================
+
+# Credit Qualifying risk weights by bucket (12 buckets + residual)
+# Source: ISDA SIMM v2.6, Table CQ-1
+CREDIT_QUALIFYING_RISK_WEIGHTS = {
+    1: 45,   # Sovereign
+    2: 47,   # Local authority
+    3: 69,   # Financial institution - Senior Unsecured
+    4: 66,   # Covered bond
+    5: 64,   # Financial institution - Senior Structured Finance
+    6: 75,   # Corporate - Senior Unsecured
+    7: 59,   # Sovereign entity
+    8: 68,   # Corporate - Senior Secured
+    9: 60,   # Asset backed
+    10: 78,  # Residential mortgage backed
+    11: 70,  # Commercial mortgage backed
+    12: 62,  # Other structured finance
+    "Residual": 100
+}
+
+
+# ============================================================================
+# INTRA-BUCKET CORRELATIONS
+# ============================================================================
+
+# Credit Qualifying intra-bucket correlations
+# Same issuer correlation vs different issuer correlation
+# Source: ISDA SIMM v2.6, Section 2.2.1
+CREDIT_QUALIFYING_INTRA_BUCKET_CORRELATIONS = {
+    # Same issuer, different risk factor
+    "same_issuer": 0.99,
+    # Different issuer, same bucket
+    1: 0.10,   # Sovereign
+    2: 0.10,   # Local authority
+    3: 0.13,   # Financial institution - Senior Unsecured
+    4: 0.13,   # Covered bond
+    5: 0.13,   # Financial institution - Senior Structured Finance
+    6: 0.14,   # Corporate - Senior Unsecured
+    7: 0.10,   # Sovereign entity
+    8: 0.14,   # Corporate - Senior Secured
+    9: 0.21,   # Asset backed
+    10: 0.18,  # Residential mortgage backed
+    11: 0.18,  # Commercial mortgage backed
+    12: 0.21,  # Other structured finance
+    "Residual": 0.21
+}
+
+
+# ============================================================================
+# INTER-BUCKET CORRELATIONS
+# ============================================================================
+
+# Credit Qualifying inter-bucket correlation matrix (12x12)
+# Source: ISDA SIMM v2.6, Table CQ-2
+CREDIT_QUALIFYING_INTER_BUCKET_CORRELATIONS = np.array([
+    #    1     2     3     4     5     6     7     8     9    10    11    12
+    [0.00, 0.40, 0.25, 0.25, 0.25, 0.20, 0.40, 0.20, 0.08, 0.12, 0.12, 0.08],  # 1 Sovereign
+    [0.40, 0.00, 0.25, 0.25, 0.25, 0.20, 0.40, 0.20, 0.08, 0.12, 0.12, 0.08],  # 2 Local authority
+    [0.25, 0.25, 0.00, 0.31, 0.31, 0.34, 0.25, 0.34, 0.14, 0.15, 0.15, 0.14],  # 3 FI Senior Unsecured
+    [0.25, 0.25, 0.31, 0.00, 0.31, 0.25, 0.25, 0.25, 0.12, 0.12, 0.12, 0.12],  # 4 Covered bond
+    [0.25, 0.25, 0.31, 0.31, 0.00, 0.25, 0.25, 0.25, 0.12, 0.12, 0.12, 0.12],  # 5 FI Senior SF
+    [0.20, 0.20, 0.34, 0.25, 0.25, 0.00, 0.20, 0.49, 0.16, 0.15, 0.15, 0.16],  # 6 Corporate Senior Unsec
+    [0.40, 0.40, 0.25, 0.25, 0.25, 0.20, 0.00, 0.20, 0.08, 0.12, 0.12, 0.08],  # 7 Sovereign entity
+    [0.20, 0.20, 0.34, 0.25, 0.25, 0.49, 0.20, 0.00, 0.16, 0.15, 0.15, 0.16],  # 8 Corporate Senior Sec
+    [0.08, 0.08, 0.14, 0.12, 0.12, 0.16, 0.08, 0.16, 0.00, 0.43, 0.43, 0.43],  # 9 Asset backed
+    [0.12, 0.12, 0.15, 0.12, 0.12, 0.15, 0.12, 0.15, 0.43, 0.00, 0.58, 0.43],  # 10 RMBS
+    [0.12, 0.12, 0.15, 0.12, 0.12, 0.15, 0.12, 0.15, 0.43, 0.58, 0.00, 0.43],  # 11 CMBS
+    [0.08, 0.08, 0.14, 0.12, 0.12, 0.16, 0.08, 0.16, 0.43, 0.43, 0.43, 0.00],  # 12 Other SF
+])
+
+# Labels for Credit Qualifying buckets
+CREDIT_QUALIFYING_BUCKET_LABELS = [
+    1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12
+]
+
+
+# ============================================================================
+# VEGA RISK WEIGHTS AND BASE CORRELATION
+# ============================================================================
+
+# Credit Qualifying Vega Risk Weight (VRW)
+CREDIT_QUALIFYING_VRW = 0.76
+
+# Credit Qualifying base correlation risk weight
+CREDIT_QUALIFYING_BASE_CORRELATION_RISK_WEIGHT = 10
+
+# Credit Qualifying base correlation inter-index correlation (29%)
+CREDIT_QUALIFYING_BASE_CORRELATION_INTER_INDEX_CORRELATION = 0.29
+
+
+# ============================================================================
+# CONCENTRATION THRESHOLDS
+# ============================================================================
+
+# Credit Qualifying delta concentration thresholds (USD million)
+# Source: ISDA SIMM v2.6, Section 2.2.3
+CREDIT_QUALIFYING_DELTA_CONCENTRATION_THRESHOLDS = {
+    1: 300,   # Sovereign
+    2: 300,   # Local authority
+    3: 150,   # Financial institution - Senior Unsecured
+    4: 300,   # Covered bond
+    5: 150,   # Financial institution - Senior Structured Finance
+    6: 200,   # Corporate - Senior Unsecured
+    7: 300,   # Sovereign entity
+    8: 200,   # Corporate - Senior Secured
+    9: 40,    # Asset backed
+    10: 40,   # Residential mortgage backed
+    11: 40,   # Commercial mortgage backed
+    12: 40,   # Other structured finance
+    "Residual": 20
+}
+
+# Credit Qualifying vega concentration threshold (USD million)
+# Source: ISDA SIMM v2.6, Section 2.2.4
+CREDIT_QUALIFYING_VEGA_CONCENTRATION_THRESHOLD = 360

quantark/simm/calibration/cross_risk.py

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+"""
+Cross-Risk-Class Calibration Parameters for SIMM v2.6
+
+This module contains inter-risk-class correlation parameters (ψ) as specified
+in ISDA SIMM v2.6, effective December 2, 2023.
+
+References:
+    - ISDA SIMM Methodology, Version 2.6, Section 1.4.2 (Inter-Risk-Class Correlations)
+"""
+
+import numpy as np
+
+
+# ============================================================================
+# INTER-RISK-CLASS CORRELATIONS (ψ)
+# ============================================================================
+
+# Inter-risk-class correlation matrix (6x6)
+# Risk classes: IR, CreditQ, CreditNQ, Equity, Commodity, FX
+# Source: ISDA SIMM v2.6, Table Global-1
+INTER_RISK_CLASS_CORRELATIONS = np.array([
+    #     IR    CreditQ CreditNQ Equity Comm  FX
+    [1.00, 0.04,   0.04,    0.07, 0.37, 0.14],  # IR
+    [0.04, 1.00,   0.54,    0.70, 0.27, 0.37],  # CreditQ
+    [0.04, 0.54,   1.00,    0.46, 0.24, 0.15],  # CreditNQ
+    [0.07, 0.70,   0.46,    1.00, 0.35, 0.39],  # Equity
+    [0.37, 0.27,   0.24,    0.35, 1.00, 0.35],  # Commodity
+    [0.14, 0.37,   0.15,    0.39, 0.35, 1.00],  # FX
+])
+
+# Labels for risk classes in the correlation matrix
+INTER_RISK_CLASS_CORRELATION_LABELS = [
+    "IR",
+    "CreditQ",
+    "CreditNQ",
+    "Equity",
+    "Commodity",
+    "FX"
+]

quantark/simm/calibration/equity.py

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+"""
+Equity Calibration Parameters for SIMM v2.6
+
+This module contains all Equity calibration parameters as specified in
+ISDA SIMM v2.6, effective December 2, 2023.
+
+References:
+    - ISDA SIMM Methodology, Version 2.6, Section 2.4 (Equity Risk)
+"""
+
+import numpy as np
+
+
+# ============================================================================
+# RISK WEIGHTS
+# ============================================================================
+
+# Equity risk weights by bucket (12 buckets + residual)
+# Source: ISDA SIMM v2.6, Table EQ-1
+EQUITY_RISK_WEIGHTS = {
+    1: 30,   # Emerging Markets Large Cap
+    2: 33,   # Emerging Markets Large Cap
+    3: 36,   # Emerging Markets Large Cap
+    4: 29,   # Emerging Markets Large Cap
+    5: 26,   # Developed Markets Large Cap
+    6: 25,   # Developed Markets Large Cap
+    7: 34,   # Developed Markets Large Cap
+    8: 28,   # Developed Markets Large Cap
+    9: 36,   # Emerging Markets Small Cap
+    10: 50,  # Developed Markets Small Cap
+    11: 19,  # Indexes - Emerging Markets
+    12: 19,  # Indexes - Developed Markets
+    "Residual": 50
+}
+
+
+# ============================================================================
+# INTRA-BUCKET CORRELATIONS
+# ============================================================================
+
+# Equity intra-bucket correlations by bucket
+# Source: ISDA SIMM v2.6, Section 2.4.1
+EQUITY_INTRA_BUCKET_CORRELATIONS = {
+    1: 0.18,  # Emerging Markets Large Cap
+    2: 0.20,  # Emerging Markets Large Cap
+    3: 0.28,  # Emerging Markets Large Cap
+    4: 0.24,  # Emerging Markets Large Cap
+    5: 0.25,  # Developed Markets Large Cap
+    6: 0.36,  # Developed Markets Large Cap
+    7: 0.35,  # Developed Markets Large Cap
+    8: 0.37,  # Developed Markets Large Cap
+    9: 0.23,  # Emerging Markets Small Cap
+    10: 0.27,  # Developed Markets Small Cap
+    11: 0.45,  # Indexes - Emerging Markets
+    12: 0.45,  # Indexes - Developed Markets
+    "Residual": 0.00
+}
+
+
+# ============================================================================
+# INTER-BUCKET CORRELATIONS
+# ============================================================================
+
+# Equity inter-bucket correlation matrix (12x12)
+# Source: ISDA SIMM v2.6, Table EQ-2
+EQUITY_INTER_BUCKET_CORRELATIONS = np.array([
+    #    1     2     3     4     5     6     7     8     9    10    11    12
+    [0.00, 0.18, 0.19, 0.19, 0.14, 0.16, 0.15, 0.16, 0.18, 0.12, 0.19, 0.19],  # 1 EM Large
+    [0.18, 0.00, 0.22, 0.21, 0.15, 0.18, 0.17, 0.19, 0.20, 0.14, 0.21, 0.21],  # 2 EM Large
+    [0.19, 0.22, 0.00, 0.23, 0.16, 0.19, 0.18, 0.20, 0.21, 0.15, 0.23, 0.23],  # 3 EM Large
+    [0.19, 0.21, 0.23, 0.00, 0.16, 0.18, 0.18, 0.19, 0.20, 0.14, 0.23, 0.23],  # 4 EM Large
+    [0.14, 0.15, 0.16, 0.16, 0.00, 0.32, 0.30, 0.33, 0.11, 0.24, 0.16, 0.16],  # 5 DM Large
+    [0.16, 0.18, 0.19, 0.18, 0.32, 0.00, 0.35, 0.37, 0.13, 0.27, 0.18, 0.18],  # 6 DM Large
+    [0.15, 0.17, 0.18, 0.18, 0.30, 0.35, 0.00, 0.36, 0.12, 0.26, 0.18, 0.18],  # 7 DM Large
+    [0.16, 0.19, 0.20, 0.19, 0.33, 0.37, 0.36, 0.00, 0.13, 0.28, 0.19, 0.19],  # 8 DM Large
+    [0.18, 0.20, 0.21, 0.20, 0.11, 0.13, 0.12, 0.13, 0.00, 0.12, 0.21, 0.21],  # 9 EM Small
+    [0.12, 0.14, 0.15, 0.14, 0.24, 0.27, 0.26, 0.28, 0.12, 0.00, 0.14, 0.14],  # 10 DM Small
+    [0.19, 0.21, 0.23, 0.23, 0.16, 0.18, 0.18, 0.19, 0.21, 0.14, 0.00, 0.45],  # 11 Index EM
+    [0.19, 0.21, 0.23, 0.23, 0.16, 0.18, 0.18, 0.19, 0.21, 0.14, 0.45, 0.00],  # 12 Index DM
+])
+
+# Labels for Equity buckets
+EQUITY_BUCKET_LABELS = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12]
+
+
+# ============================================================================
+# HISTORICAL VOLATILITY RATIOS AND VEGA RISK WEIGHTS
+# ============================================================================
+
+# Equity Historical Volatility Ratio (HVR)
+EQUITY_HVR = 0.60
+
+# Equity Vega Risk Weight (VRW)
+# Special case for bucket 12 (indexes)
+EQUITY_VRW = {
+    12: 0.96,  # Indexes - Developed Markets
+    "default": 0.45
+}
+
+
+# ============================================================================
+# CONCENTRATION THRESHOLDS
+# ============================================================================
+
+# Equity delta concentration thresholds (USD million / %)
+# Source: ISDA SIMM v2.6, Section 2.4.3
+EQUITY_DELTA_CONCENTRATION_THRESHOLDS = {
+    (1, 2, 3, 4): 3,      # EM Large Cap
+    (5, 6, 7, 8): 12,     # DM Large Cap
+    9: 0.64,              # EM Small Cap
+    10: 0.37,             # DM Small Cap
+    (11, 12): 810,        # Indexes
+    "Residual": 0.37
+}
+
+# Equity vega concentration thresholds (USD million / %)
+# Source: ISDA SIMM v2.6, Section 2.4.4
+EQUITY_VEGA_CONCENTRATION_THRESHOLDS = {
+    (1, 2, 3, 4): 3,      # EM Large Cap
+    (5, 6, 7, 8): 12,     # DM Large Cap
+    9: 0.64,              # EM Small Cap
+    10: 0.37,             # DM Small Cap
+    (11, 12): 810,        # Indexes
+    "Residual": 0.37
+}

quantark/simm/calibration/fx.py

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+"""
+Foreign Exchange Calibration Parameters for SIMM v2.6
+
+This module contains all Foreign Exchange (FX) calibration parameters as
+specified in ISDA SIMM v2.6, effective December 2, 2023.
+
+References:
+    - ISDA SIMM Methodology, Version 2.6, Section 2.6 (Foreign Exchange Risk)
+"""
+
+import numpy as np
+
+
+# ============================================================================
+# VOLATILITY GROUPS
+# ============================================================================
+
+# FX volatility groups for calculation currency
+# Group 1: Regular volatility calculation currencies
+# Group 2: High volatility calculation currencies
+FX_VOLATILITY_GROUPS = {
+    "regular": 1,  # Regular volatility calculation currencies (AUD, BRL, CAD, CHF, CNY, CZK, DKK, EUR, GBP, HKD, HUF, ILS, ISK, JPY, KRW, MXN, NOK, NZD, PLN, SEK, SGD, THB, TRY, TWD, USD, ZAR)
+    "high": 2      # High volatility calculation currencies (all others)
+}
+
+
+# ============================================================================
+# RISK WEIGHTS
+# ============================================================================
+
+# FX risk weights by volatility group pair (2x2 matrix)
+# Rows: Calculation currency volatility group
+# Columns: Underlying currency volatility group
+# Source: ISDA SIMM v2.6, Table FX-1
+FX_RISK_WEIGHTS = np.array([
+    #  Regular Ccy  High Vol Ccy
+    [15,            18],             # Regular calc currency
+    [18,            21]              # High vol calc currency
+])
+
+# Labels for FX volatility groups
+FX_VOLATILITY_GROUP_LABELS = ["regular", "high"]
+
+
+# ============================================================================
+# CORRELATIONS
+# ============================================================================
+
+# FX correlations by volatility group (2x2 matrix)
+# Correlation between currency pairs by volatility group
+# Source: ISDA SIMM v2.6, Table FX-2
+FX_CORRELATIONS = np.array([
+    #  Regular Ccy  High Vol Ccy
+    [0.46,          0.38],           # Regular calc currency
+    [0.38,          0.38]            # High vol calc currency
+])
+
+# FX vega/curvature correlation (50%)
+# Correlation between vega and curvature risk
+FX_VEGA_CURVATURE_CORRELATION = 0.50
+
+
+# ============================================================================
+# HISTORICAL VOLATILITY RATIOS AND VEGA RISK WEIGHTS
+# ============================================================================
+
+# FX Historical Volatility Ratio (HVR)
+FX_HVR = 0.57
+
+# FX Vega Risk Weight (VRW)
+FX_VRW = 0.48
+
+
+# ============================================================================
+# CONCENTRATION THRESHOLDS
+# ============================================================================
+
+# FX delta concentration thresholds by category (USD million)
+# Source: ISDA SIMM v2.6, Section 2.6.3
+FX_DELTA_CONCENTRATION_THRESHOLDS = {
+    "regular": 100,  # Regular volatility currencies
+    "high": 50       # High volatility currencies
+}
+
+# FX vega concentration thresholds by category pair (USD million)
+# Source: ISDA SIMM v2.6, Section 2.6.4
+FX_VEGA_CONCENTRATION_THRESHOLDS = {
+    ("regular", "regular"): 100,
+    ("regular", "high"): 100,
+    ("high", "regular"): 100,
+    ("high", "high"): 50
+}

quantark/simm/calibration/ir.py

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+"""
+Interest Rate Calibration Parameters for SIMM v2.6
+
+This module contains all Interest Rate (IR) calibration parameters as specified
+in ISDA SIMM v2.6, effective December 2, 2023.
+
+References:
+    - ISDA SIMM Methodology, Version 2.6, Section 2.1 (Interest Rate Risk)
+"""
+
+import numpy as np
+
+
+# ============================================================================
+# RISK WEIGHTS
+# ============================================================================
+
+# IR risk weights by (tenor_label, currency_group)
+# Currency groups: 'regular', 'low', 'high'
+IR_RISK_WEIGHTS = {
+    # Regular volatility currencies (USD, EUR, GBP)
+    ("2w", "regular"): 109,
+    ("1m", "regular"): 105,
+    ("3m", "regular"): 90,
+    ("6m", "regular"): 71,
+    ("1yr", "regular"): 66,
+    ("2yr", "regular"): 66,
+    ("3yr", "regular"): 64,
+    ("5yr", "regular"): 60,
+    ("10yr", "regular"): 60,
+    ("15yr", "regular"): 61,
+    ("20yr", "regular"): 61,
+    ("30yr", "regular"): 67,
+
+    # Low volatility currencies (JPY)
+    ("2w", "low"): 15,
+    ("1m", "low"): 18,
+    ("3m", "low"): 9,
+    ("6m", "low"): 11,
+    ("1yr", "low"): 13,
+    ("2yr", "low"): 15,
+    ("3yr", "low"): 19,
+    ("5yr", "low"): 23,
+    ("10yr", "low"): 23,
+    ("15yr", "low"): 22,
+    ("20yr", "low"): 22,
+    ("30yr", "low"): 23,
+
+    # High volatility currencies
+    ("2w", "high"): 163,
+    ("1m", "high"): 109,
+    ("3m", "high"): 87,
+    ("6m", "high"): 89,
+    ("1yr", "high"): 102,
+    ("2yr", "high"): 96,
+    ("3yr", "high"): 101,
+    ("5yr", "high"): 97,
+    ("10yr", "high"): 97,
+    ("15yr", "high"): 102,
+    ("20yr", "high"): 106,
+    ("30yr", "high"): 101,
+}
+
+# Labels for IR tenors
+IR_TENOR_LABELS = [
+    "2w", "1m", "3m", "6m", "1yr", "2yr",
+    "3yr", "5yr", "10yr", "15yr", "20yr", "30yr"
+]
+
+
+# ============================================================================
+# CORRELATIONS
+# ============================================================================
+
+# IR tenor correlation matrix (12x12)
+# Source: ISDA SIMM v2.6, Table IR-1
+IR_TENOR_CORRELATIONS = np.array([
+    #    2w   1m   3m   6m   1yr  2yr  3yr  5yr  10yr 15yr 20yr 30yr
+    [1.00, 0.77, 0.67, 0.59, 0.48, 0.39, 0.34, 0.30, 0.25, 0.23, 0.21, 0.20],  # 2w
+    [0.77, 1.00, 0.84, 0.74, 0.56, 0.43, 0.36, 0.31, 0.26, 0.21, 0.19, 0.19],  # 1m
+    [0.67, 0.84, 1.00, 0.87, 0.62, 0.47, 0.39, 0.33, 0.27, 0.22, 0.20, 0.19],  # 3m
+    [0.59, 0.74, 0.87, 1.00, 0.72, 0.54, 0.44, 0.36, 0.29, 0.23, 0.21, 0.20],  # 6m
+    [0.48, 0.56, 0.62, 0.72, 1.00, 0.79, 0.65, 0.50, 0.38, 0.30, 0.27, 0.25],  # 1yr
+    [0.39, 0.43, 0.47, 0.54, 0.79, 1.00, 0.87, 0.69, 0.50, 0.39, 0.34, 0.31],  # 2yr
+    [0.34, 0.36, 0.39, 0.44, 0.65, 0.87, 1.00, 0.85, 0.62, 0.48, 0.42, 0.38],  # 3yr
+    [0.30, 0.31, 0.33, 0.36, 0.50, 0.69, 0.85, 1.00, 0.79, 0.62, 0.54, 0.48],  # 5yr
+    [0.25, 0.26, 0.27, 0.29, 0.38, 0.50, 0.62, 0.79, 1.00, 0.86, 0.75, 0.66],  # 10yr
+    [0.23, 0.21, 0.22, 0.23, 0.30, 0.39, 0.48, 0.62, 0.86, 1.00, 0.92, 0.81],  # 15yr
+    [0.21, 0.19, 0.20, 0.21, 0.27, 0.34, 0.42, 0.54, 0.75, 0.92, 1.00, 0.89],  # 20yr
+    [0.20, 0.19, 0.19, 0.20, 0.25, 0.31, 0.38, 0.48, 0.66, 0.81, 0.89, 1.00],  # 30yr
+])
+
+# IR sub-curve correlation (99.3%)
+# Correlation between tenor curves on same currency
+IR_SUB_CURVE_CORRELATION = 0.993
+
+# IR inflation correlation (24%)
+# Correlation between inflation and nominal curves
+IR_INFLATION_CORRELATION = 0.24
+
+# IR cross-currency basis correlation (4%)
+# Correlation between basis swaps across currencies
+IR_CROSS_CURRENCY_BASIS_CORRELATION = 0.04
+
+# IR inter-currency correlation (32%)
+# Correlation between interest rates across different currencies
+IR_INTER_CURRENCY_CORRELATION = 0.32
+
+
+# ============================================================================
+# ADDITIONAL RISK WEIGHTS
+# ============================================================================
+
+# IR inflation risk weight
+IR_INFLATION_RISK_WEIGHT = 61
+
+# IR cross-currency basis risk weight
+IR_CROSS_CURRENCY_BASIS_RISK_WEIGHT = 21
+
+
+# ============================================================================
+# HISTORICAL VOLATILITY RATIOS AND VEGA RISK WEIGHTS
+# ============================================================================
+
+# IR Historical Volatility Ratio (HVR)
+IR_HVR = 0.47
+
+# IR Vega Risk Weight (VRW)
+IR_VRW = 0.23
+
+
+# ============================================================================
+# CONCENTRATION THRESHOLDS
+# ============================================================================
+
+# IR delta concentration thresholds (USD million / basis point)
+# Source: ISDA SIMM v2.6, Section 2.1.3
+IR_DELTA_CONCENTRATION_THRESHOLDS = {
+    "high": 30,  # High volatility currencies
+    "regular_well_traded": 330,  # USD, EUR, GBP
+    "regular_less_traded": 130,  # AUD, CAD, CHF, NZD, SEK, NOK, DKK
+    "low": 61,  # JPY
+}
+
+# IR vega concentration thresholds (USD million / bp)
+# Source: ISDA SIMM v2.6, Section 2.1.4
+IR_VEGA_CONCENTRATION_THRESHOLDS = {
+    "high": 30,  # High volatility currencies
+    "regular_well_traded": 330,  # USD, EUR, GBP
+    "regular_less_traded": 130,  # AUD, CAD, CHF, NZD, SEK, NOK, DKK
+    "low": 61,  # JPY
+}

quantark/simm/calibration/version.py

@@ -0,0 +1,33 @@
+"""
+SIMM Calibration Version Information
+
+This module contains version information for the SIMM (Standard Initial Margin Model)
+implementation. SIMM is a methodology for calculating initial margin for non-cleared
+derivatives as specified by ISDA.
+"""
+
+from dataclasses import dataclass
+from datetime import date
+
+
+@dataclass(frozen=True)
+class SIMMVersion:
+    """SIMM version information.
+
+    This class tracks the version of SIMM calibration parameters implemented.
+    All parameters in the calibration module follow the ISDA SIMM v2.6 specification.
+
+    Attributes:
+        version: The current SIMM version (v2.6)
+        base_version: The base SIMM version this builds from
+        effective_date: Date when v2.6 became effective (December 2, 2023)
+        publication_date: Date when v2.6 was published (August 16, 2023)
+    """
+    version: str = "2.6"
+    base_version: str = "2.5.6"
+    effective_date: date = date(2023, 12, 2)
+    publication_date: date = date(2023, 8, 16)
+
+
+# The current version of SIMM calibration parameters
+CURRENT_VERSION = SIMMVersion()