Package org.drip.exposure.csatimeline

Class EventDate

java.lang.Object
org.drip.exposure.csatimeline.EventDate
public class EventDate
extends java.lang.Object
EventDate holds a specific Date composing BCBS/IOSCO prescribed Events Time-line occurring Margin Period. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    EventDate​(JulianDate date, java.lang.String bcbsDesignation, java.lang.String aps2017Designation)
    EventDate Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String aps2017Designation()
    Retrieve the Andersen Pykhtin Sokol (2017) CSA Event Designation
    java.lang.String bcbsDesignation()
    Retrieve the BCBS IOSCO CSA Event Designation
    JulianDate date()
    Retrieve the CSA Event Julian Date

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • EventDate

      public EventDate​(JulianDate date, java.lang.String bcbsDesignation, java.lang.String aps2017Designation) throws java.lang.Exception
      EventDate Constructor
      Parameters:
      date - The CSA Event Julian Date
      bcbsDesignation - The BCBS IOSCO CSA Event Designation
      aps2017Designation - The Andersen Pykhtin Sokol (2017) CSA Event Designation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • date

      public JulianDate date()
      Retrieve the CSA Event Julian Date
      Returns:
      The CSA Event Julian Date

    • bcbsDesignation

      public java.lang.String bcbsDesignation()
      Retrieve the BCBS IOSCO CSA Event Designation
      Returns:
      The BCBS IOSCO CSA Event Designation

    • aps2017Designation

      public java.lang.String aps2017Designation()
      Retrieve the Andersen Pykhtin Sokol (2017) CSA Event Designation
      Returns:
      The Andersen Pykhtin Sokol (2017) CSA Event Designation