Package org.drip.exposure.csatimeline

Class EventSequence

java.lang.Object
org.drip.exposure.csatimeline.EventSequence
public class EventSequence
extends java.lang.Object
EventSequence holds the 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 Details

    • EventSequence

      public EventSequence​(EventDate valuation, EventDate honored, EventDate collateralTransferInitiation, EventDate nonHonored, EventDate ped, EventDate pedCommunication, EventDate ed, EventDate edCommunication, EventDate etdDesignation, EventDate etd, int marginFrequency, int curePeriod, java.lang.String calendarSet) throws java.lang.Exception
      Parameters:
      valuation - The CSA Valuation Event Date
      honored - The CSA Honored Event Date
      collateralTransferInitiation - The CSA Collateral Transfer Initiation Event Date
      nonHonored - The CSA Non-Honored Event Date
      ped - The Potential Event of Default
      pedCommunication - The Potential Event of Default Communication Date
      ed - The Event of Default
      edCommunication - The Event of Default Communication Date
      etdDesignation - The Early Termination Designation Date
      etd - The Early Termination Date
      marginFrequency - The CSA Margin Frequency
      curePeriod - The Client "Failure To Pay" Cure Period
      calendarSet - The CSA Calendar Set
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Aggressive

      public static final EventSequence Aggressive​(JulianDate valuationDate, java.lang.String calendarSet)
      Construct an Instance of Aggressive EventSequence
      Parameters:
      valuationDate - The Valuation Date
      calendarSet - The Calendar Set
      Returns:
      Instance of Aggressive EventSequence

    • Conservative

      public static final EventSequence Conservative​(JulianDate valuationDate, java.lang.String calendarSet)
      Construct an Instance of Conservative EventSequence
      Parameters:
      valuationDate - The Valuation Date
      calendarSet - The Calendar Set
      Returns:
      Instance of Conservative EventSequence

    • calendarSet

      public java.lang.String calendarSet()
      Retrieve the CSA Calendar Set
      Returns:
      The CSA Calendar Set

    • marginFrequency

      public int marginFrequency()
      Retrieve the CSA Margin Frequency
      Returns:
      The CSA Margin Frequency

    • curePeriod

      public int curePeriod()
      Retrieve the Client Cure Period
      Returns:
      The Client Cure Period

    • valuation

      public EventDate valuation()
      Retrieve the Valuation Event Date
      Returns:
      The Valuation Event Date

    • honored

      public EventDate honored()
      Retrieve the Honored Event Date
      Returns:
      The Honored Event Date

    • collateralTransferInitiation

      public EventDate collateralTransferInitiation()
      Retrieve the Collateral Transfer Initiation Event Date
      Returns:
      The Collateral Transfer Initiation Event Date

    • nonHonored

      public EventDate nonHonored()
      Retrieve the Non Honored Event Date
      Returns:
      The Non Honored Event Date

    • ped

      public EventDate ped()
      Retrieve the PED Event Date
      Returns:
      The PED Event Date

    • pedCommunication

      public EventDate pedCommunication()
      Retrieve the PED Communication Event Date
      Returns:
      The PED Communication Event Date

    • ed

      public EventDate ed()
      Retrieve the ED Event Date
      Returns:
      The ED Event Date

    • edCommunication

      public EventDate edCommunication()
      Retrieve the ED Communication Event Date
      Returns:
      The ED Communication Event Date

    • etdDesignation

      public EventDate etdDesignation()
      Retrieve the ETD Designation Event Date
      Returns:
      The ETD Designation Event Date

    • etd

      public EventDate etd()
      Retrieve the ETD Event Date
      Returns:
      The ETD Event Date

    • marginPeriodStart

      public JulianDate marginPeriodStart()
      Retrieve the Margin Period Start Date
      Returns:
      The Margin Period Start Date

    • marginPeriodEnd

      public JulianDate marginPeriodEnd()
      Retrieve the Margin Period End Date
      Returns:
      The Margin Period End Date

    • marginDuration

      public int marginDuration()
      Retrieve the Margin Duration
      Returns:
      The Margin Duration