Package org.drip.exposure.csatimeline

Class EventDateBuilder

java.lang.Object

org.drip.exposure.csatimeline.EventDateBuilder

public class EventDateBuilder
extends java.lang.Object

EventDateBuilder builds the CSA BCBS/IOSCO Dates 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

• 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

Field Summary

Fields

Modifier and Type	Field	Description
static int	CURE_PERIOD_IMA_1992	1992 ISDA IMA Cure Period of 3 Business Days
static int	CURE_PERIOD_IMA_2002	2002 ISDA IMA Cure Period of 1 Business Day
static int	ED_COMMUNICATION_DELAY_AGGRESSIVE	ED Communication Delay - Aggressive
static int	ED_COMMUNICATION_DELAY_CONSERVATIVE	ED Communication Delay - Conservative
static int	ETD_CALL_OUT_DELAY_AGGRESSIVE	ETD Call-out Delay - Aggressive
static int	ETD_CALL_OUT_DELAY_CONSERVATIVE	ETD Call-out Delay - Conservative
static int	ETD_DESIGNATION_DELAY_AGGRESSIVE	ETD Designation Delay - Aggressive
static int	ETD_DESIGNATION_DELAY_CONSERVATIVE	ETD Designation Delay - Conservative
static int	MARGIN_FREQUENCY_DAILY	Daily Margining Frequency
static int	PED_CALL_OUT_DELAY_AGGRESSIVE	PED Call Out Delay - Aggressive
static int	PED_CALL_OUT_DELAY_CONSERVATIVE	PED Call Out Delay - Conservative
static int	PED_COMMUNICATION_DELAY_AGGRESSIVE	PED Communication Delay - Aggressive
static int	PED_COMMUNICATION_DELAY_CONSERVATIVE	PED Communication Delay - Conservative

Constructor Summary

Constructors

Constructor	Description
EventDateBuilder()

Method Summary

Modifier and Type	Method	Description
static EventDate	CollateralTransferInitiation(JulianDate date)	Construct the Collateral Transfer Initiation CSA Event Date
static EventDate	DelayedCollateralTransferInitiation(EventDate honored, java.lang.String calendarSet)	Construct the Delayed Collateral Transfer Initiation CSA Event Date
static EventDate	EarlyTerminationDate(JulianDate date)	Construct the Early Termination Date (ETD) CSA Event Date
static EventDate	ED(JulianDate date)	Construct the Event of Default CSA Event Date
static EventDate	EDCommunication(JulianDate date)	Construct the ED Communication CSA Event Date
static EventDate	ETD(JulianDate date)	Construct the Early Termination Date (ETD) CSA Event Date
static EventDate	ETDDesignation(JulianDate date)	Construct the ETD Designation CSA Event Date
static EventDate	EventOfDefault(JulianDate date)	Construct the Event of Default CSA Event Date
static EventDate	EventOfDefault(EventDate ped, java.lang.String calendarSet, int curePeriod)	Construct the Cure Period Adjusted ED
static EventDate	Honored(JulianDate date)	Construct the Undisputed and Respected CSA Event Date
static EventDate	Honored(EventDate valuation, java.lang.String calendarSet)	Construct the Undisputed and Respected CSA Event Date from the CSA Valuation Date
static EventDate	IMA1992ED(EventDate ped, java.lang.String calendarSet)	Construct the IMA 1992 Cure Period Adjusted ED
static EventDate	IMA2002ED(EventDate ped, java.lang.String calendarSet)	Construct the IMA 2002 Cure Period Adjusted ED
static EventDate	NonHonored(JulianDate date)	Construct the Non-Honored CSA Event Date
static EventDate	NonHonored(EventDate valuation, java.lang.String calendarSet)	Construct the Non-Honored CSA Event Date
static EventDate	PED(JulianDate date)	Construct the Potential Event of Default CSA Event Date
static EventDate	PEDCommunication(JulianDate date)	Construct the PED Communication CSA Event Date
static EventDate	PotentialEventOfDefault(JulianDate date)	Construct the Potential Event of Default CSA Event Date
static EventDate	RegularCollateralTransferInitiation(EventDate honored, java.lang.String calendarSet)	Construct the Regular Collateral Transfer Initiation CSA Event Date
static EventDate	Valuation(JulianDate date)	Construct the CSA Valuation Event Date

Methods inherited from class java.lang.Object

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

Field Details

CURE_PERIOD_IMA_1992

public static final int CURE_PERIOD_IMA_1992

1992 ISDA IMA Cure Period of 3 Business Days

See Also:

Constant Field Values

CURE_PERIOD_IMA_2002

public static final int CURE_PERIOD_IMA_2002

2002 ISDA IMA Cure Period of 1 Business Day

See Also:

Constant Field Values

MARGIN_FREQUENCY_DAILY

public static final int MARGIN_FREQUENCY_DAILY

Daily Margining Frequency

See Also:

Constant Field Values

PED_CALL_OUT_DELAY_AGGRESSIVE

public static final int PED_CALL_OUT_DELAY_AGGRESSIVE

PED Call Out Delay - Aggressive

See Also:

Constant Field Values

PED_CALL_OUT_DELAY_CONSERVATIVE

public static final int PED_CALL_OUT_DELAY_CONSERVATIVE

PED Call Out Delay - Conservative

See Also:

Constant Field Values

PED_COMMUNICATION_DELAY_AGGRESSIVE

public static final int PED_COMMUNICATION_DELAY_AGGRESSIVE

PED Communication Delay - Aggressive

See Also:

Constant Field Values

PED_COMMUNICATION_DELAY_CONSERVATIVE

public static final int PED_COMMUNICATION_DELAY_CONSERVATIVE

PED Communication Delay - Conservative

See Also:

Constant Field Values

ED_COMMUNICATION_DELAY_AGGRESSIVE

public static final int ED_COMMUNICATION_DELAY_AGGRESSIVE

ED Communication Delay - Aggressive

See Also:

Constant Field Values

ED_COMMUNICATION_DELAY_CONSERVATIVE

public static final int ED_COMMUNICATION_DELAY_CONSERVATIVE

ED Communication Delay - Conservative

See Also:

Constant Field Values

ETD_DESIGNATION_DELAY_AGGRESSIVE

public static final int ETD_DESIGNATION_DELAY_AGGRESSIVE

ETD Designation Delay - Aggressive

See Also:

Constant Field Values

ETD_DESIGNATION_DELAY_CONSERVATIVE

public static final int ETD_DESIGNATION_DELAY_CONSERVATIVE

ETD Designation Delay - Conservative

See Also:

Constant Field Values

ETD_CALL_OUT_DELAY_AGGRESSIVE

public static final int ETD_CALL_OUT_DELAY_AGGRESSIVE

ETD Call-out Delay - Aggressive

See Also:

Constant Field Values

ETD_CALL_OUT_DELAY_CONSERVATIVE

public static final int ETD_CALL_OUT_DELAY_CONSERVATIVE

ETD Call-out Delay - Conservative

See Also:

Constant Field Values

Constructor Details

EventDateBuilder

public EventDateBuilder()

Method Details

Valuation

public static final EventDate Valuation(JulianDate date)

Construct the CSA Valuation Event Date

Parameters:

date - The Valuation Date

Returns:

The CSA Valuation Event Date

Honored

public static final EventDate Honored(JulianDate date)

Construct the Undisputed and Respected CSA Event Date

Parameters:

date - The CSA Honored Date

Returns:

The Undisputed and Respected CSA Event Date

Honored

public static final EventDate Honored(EventDate valuation,
java.lang.String calendarSet)

Construct the Undisputed and Respected CSA Event Date from the CSA Valuation Date

Parameters:

valuation - The CSA Valuation Event Date

calendarSet - The Calendar Set

Returns:

The Undisputed and Respected CSA Event Date from the CSA Valuation Date

CollateralTransferInitiation

public static final EventDate CollateralTransferInitiation(JulianDate date)

Construct the Collateral Transfer Initiation CSA Event Date

Parameters:

date - The Collateral Transfer Initiation Date

Returns:

The Collateral Transfer Initiation CSA Event Date

RegularCollateralTransferInitiation

public static final EventDate RegularCollateralTransferInitiation(EventDate honored,
java.lang.String calendarSet)

Construct the Regular Collateral Transfer Initiation CSA Event Date

Parameters:

honored - The CSA Last Honored Event Date

calendarSet - The Calendar Set

Returns:

The Regular Collateral Transfer Initiation CSA Event Date

DelayedCollateralTransferInitiation

public static final EventDate DelayedCollateralTransferInitiation(EventDate honored,
java.lang.String calendarSet)

Construct the Delayed Collateral Transfer Initiation CSA Event Date

Parameters:

honored - The CSA Last Honored Event Date

calendarSet - The Calendar Set

Returns:

The Delayed Collateral Transfer Initiation CSA Event Date

NonHonored

public static final EventDate NonHonored(JulianDate date)

Construct the Non-Honored CSA Event Date

Parameters:

date - The CSA Non-Honored Date

Returns:

The Non-Honored CSA Event Date

NonHonored

public static final EventDate NonHonored(EventDate valuation,
java.lang.String calendarSet)

Construct the Non-Honored CSA Event Date

Parameters:

valuation - The CSA Valuation Event Date

calendarSet - The Calendar Set

Returns:

The Non-Honored CSA Event Date

PotentialEventOfDefault

public static final EventDate PotentialEventOfDefault(JulianDate date)

Construct the Potential Event of Default CSA Event Date

Parameters:

date - The Potential Event of Default Date

Returns:

The Potential Event of Default CSA Event Date

PED

public static final EventDate PED(JulianDate date)

Construct the Potential Event of Default CSA Event Date

Parameters:

date - The Potential Event of Default Date

Returns:

The Potential Event of Default CSA Event Date

PEDCommunication

public static final EventDate PEDCommunication(JulianDate date)

Construct the PED Communication CSA Event Date

Parameters:

date - The PED Communication Date

Returns:

The PED Communication CSA Event Date

EventOfDefault

public static final EventDate EventOfDefault(JulianDate date)

Construct the Event of Default CSA Event Date

Parameters:

date - The Event of Default Date

Returns:

The Event of Default CSA Event Date

ED

public static final EventDate ED(JulianDate date)

Construct the Event of Default CSA Event Date

Parameters:

date - The Event of Default Date

Returns:

The Event of Default CSA Event Date

EventOfDefault

public static final EventDate EventOfDefault(EventDate ped,
java.lang.String calendarSet,
int curePeriod)

Construct the Cure Period Adjusted ED

Parameters:

ped - The PED CSA Event Date

calendarSet - The Calendar Set

curePeriod - The Cure Period

Returns:

The Cure Period Adjusted ED

IMA1992ED

public static final EventDate IMA1992ED(EventDate ped,
java.lang.String calendarSet)

Construct the IMA 1992 Cure Period Adjusted ED

Parameters:

ped - The PED CSA Event Date

calendarSet - The Calendar Set

Returns:

The IMA 1992 Cure Period Adjusted ED

IMA2002ED

public static final EventDate IMA2002ED(EventDate ped,
java.lang.String calendarSet)

Construct the IMA 2002 Cure Period Adjusted ED

Parameters:

ped - The PED CSA Event Date

calendarSet - The Calendar Set

Returns:

The IMA 2002 Cure Period Adjusted ED

EDCommunication

public static final EventDate EDCommunication(JulianDate date)

Construct the ED Communication CSA Event Date

Parameters:

date - The ED Communication Date

Returns:

The ED Communication CSA Event Date

ETDDesignation

public static final EventDate ETDDesignation(JulianDate date)

Construct the ETD Designation CSA Event Date

Parameters:

date - The ETD Designation Date

Returns:

The ETD Designation CSA Event Date

ETD

public static final EventDate ETD(JulianDate date)

Construct the Early Termination Date (ETD) CSA Event Date

Parameters:

date - The Early Termination Date (ETD)

Returns:

The Early Termination Date (ETD) CSA Event Date

EarlyTerminationDate

public static final EventDate EarlyTerminationDate(JulianDate date)

Construct the Early Termination Date (ETD) CSA Event Date

Parameters:

date - The Early Termination Date (ETD)

Returns:

The Early Termination Date (ETD) CSA Event Date