Package org.drip.exposure.csatimeline

Class AndersenPykhtinSokolLag

java.lang.Object

org.drip.exposure.csatimeline.AndersenPykhtinSokolLag

public class AndersenPykhtinSokolLag
extends java.lang.Object

AndersenPykhtinSokolLag holds the Client/Dealer Margin Flow and Trade Flow Lags using the Parameterization laid out in Andersen, Pykhtin, and Sokol (2017). The References are:

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 eSSRN
• 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
• 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
• BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives https://www.bis.org/bcbs/publ/d317.pdf
• Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties Journal of Credit Risk 5 (4) 3-27

• Module = Portfolio Core Module
• Library = Exposure Analytics
• Project = Exposure Group Level Collateralized/Uncollateralized Exposure
• Package = Time-line of IMA/CSA Event Dates

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
AndersenPykhtinSokolLag(int clientVariationMarginPostingDelay, int dealerVariationMarginPostingDelay, int clientTradePaymentDelay, int dealerTradePaymentDelay)	AndersenPykhtinSokolLag Constructor

Method Summary

Modifier and Type	Method	Description
static AndersenPykhtinSokolLag	Aggressive()	Generate the "Aggressive" Parameterization of AndersenPykhtinSokolLag
static AndersenPykhtinSokolLag	ClassicalMinus()	Generate the "Classical-" Parameterization of AndersenPykhtinSokolLag
static AndersenPykhtinSokolLag	ClassicalPlus()	Generate the "Classical+" Parameterization of AndersenPykhtinSokolLag
int	clientTradePaymentDelay()	Retrieve the Client Trade Payment Delay
int	clientVariationMarginPostingDelay()	Retrieve the Client Variation Margin Posting Delay
static AndersenPykhtinSokolLag	Conservative()	Generate the "Conservative" Parameterization of AndersenPykhtinSokolLag
int	dealerTradePaymentDelay()	Retrieve the Dealer Trade Payment Delay
int	dealerVariationMarginPostingDelay()	Retrieve the Dealer Variation Margin Posting Delay

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

AndersenPykhtinSokolLag

public AndersenPykhtinSokolLag(int clientVariationMarginPostingDelay,
int dealerVariationMarginPostingDelay,
int clientTradePaymentDelay,
int dealerTradePaymentDelay)
                        throws java.lang.Exception

AndersenPykhtinSokolLag Constructor

Parameters:

clientVariationMarginPostingDelay - Client Variation Margin Posting Delay (Business Days)

dealerVariationMarginPostingDelay - Dealer Variation Margin Posting Gap (Business Days)

clientTradePaymentDelay - Client Trade Payment Delay (Business Days)

dealerTradePaymentDelay - Dealer Trade Payment Delay (Business Days)

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Conservative

public static final AndersenPykhtinSokolLag Conservative()

Generate the "Conservative" Parameterization of AndersenPykhtinSokolLag

Returns:

The "Conservative" Parameterization of AndersenPykhtinSokolLag

Aggressive

public static final AndersenPykhtinSokolLag Aggressive()

Generate the "Aggressive" Parameterization of AndersenPykhtinSokolLag

Returns:

The "Aggressive" Parameterization of AndersenPykhtinSokolLag

ClassicalPlus

public static final AndersenPykhtinSokolLag ClassicalPlus()

Generate the "Classical+" Parameterization of AndersenPykhtinSokolLag

Returns:

The "Classical+" Parameterization of AndersenPykhtinSokolLag

ClassicalMinus

public static final AndersenPykhtinSokolLag ClassicalMinus()

Generate the "Classical-" Parameterization of AndersenPykhtinSokolLag

Returns:

The "Classical-" Parameterization of AndersenPykhtinSokolLag

clientVariationMarginPostingDelay

public int clientVariationMarginPostingDelay()

Retrieve the Client Variation Margin Posting Delay

Returns:

The Client Variation Margin Posting Delay

dealerVariationMarginPostingDelay

public int dealerVariationMarginPostingDelay()

Retrieve the Dealer Variation Margin Posting Delay

Returns:

The Dealer Variation Margin Posting Delay

clientTradePaymentDelay

public int clientTradePaymentDelay()

Retrieve the Client Trade Payment Delay

Returns:

The Client Trade Payment Delay

dealerTradePaymentDelay

public int dealerTradePaymentDelay()

Retrieve the Dealer Trade Payment Delay

Returns:

The Dealer Trade Payment Delay