Package org.drip.exposure.csatimeline

Class LastFlowDates

java.lang.Object

org.drip.exposure.csatimeline.LastFlowDates

public class LastFlowDates
extends java.lang.Object

LastFlowDates holds the Last Client/Dealer Margin Flow and Trade Flow Dates 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
LastFlowDates(JulianDate valuation, JulianDate clientVariationMarginPosting, JulianDate dealerVariationMarginPosting, JulianDate clientTradePayment, JulianDate dealerTradePayment, JulianDate spot, JulianDate variationMarginPeriodStart, JulianDate variationMarginPeriodEnd)	LastFlowDates Constructor

Method Summary

Modifier and Type	Method	Description
JulianDate	clientTradePayment()	Retrieve the Last Client Trade Payment (Settlement) Date
JulianDate	clientVariationMarginPosting()	Retrieve the Last Client Variation Margin Posting (Observation) Date
JulianDate	dealerTradePayment()	Retrieve the Last Dealer Trade Payment (Settlement) Date
JulianDate	dealerVariationMarginPosting()	Retrieve the Last Dealer Variation Margin Posting (Observation) Date
JulianDate	etd()	Retrieve the ETD
JulianDate	spot()	Retrieve the Spot Date
static LastFlowDates	SpotStandard(JulianDate spot, AndersenPykhtinSokolLag andersenPykhtinSokolLag, java.lang.String calendarSet)	Generate a LastFlowDates Instance from the Spot Date and the AndersenPykhtinSokolLag
JulianDate	valuation()	Retrieve the Valuation Date
JulianDate	variationMarginPeriodEnd()	Retrieve the Variation Margin Period End Date
JulianDate	variationMarginPeriodStart()	Retrieve the Variation Margin Period Start Date

Methods inherited from class java.lang.Object

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

Constructor Details

LastFlowDates

public LastFlowDates(JulianDate valuation,
JulianDate clientVariationMarginPosting,
JulianDate dealerVariationMarginPosting,
JulianDate clientTradePayment,
JulianDate dealerTradePayment,
JulianDate spot,
JulianDate variationMarginPeriodStart,
JulianDate variationMarginPeriodEnd)
              throws java.lang.Exception

LastFlowDates Constructor

Parameters:

valuation - The Margin Collateral Valuation Date

clientVariationMarginPosting - The Last Client Variation Margin Posting (Observation) Date

dealerVariationMarginPosting - The Last Dealer Variation Margin Posting (Observation) Date

clientTradePayment - The Last Client Trade Payment (Settlement) Date

dealerTradePayment - The Last Dealer Trade Payment (Settlement) Date

spot - The Spot Date

variationMarginPeriodStart - The Variation Margin Period Start Date

variationMarginPeriodEnd - The Variation Margin Period End Date

Throws:

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

Method Details

SpotStandard

public static final LastFlowDates SpotStandard(JulianDate spot,
AndersenPykhtinSokolLag andersenPykhtinSokolLag,
java.lang.String calendarSet)

Generate a LastFlowDates Instance from the Spot Date and the AndersenPykhtinSokolLag

Parameters:

spot - The Spot Date

andersenPykhtinSokolLag - AndersenPykhtinSokolLag Instance

calendarSet - The Business Day Calendar Set

Returns:

The LastFlowDates Instance

valuation

public JulianDate valuation()

Retrieve the Valuation Date

Returns:

The Valuation Date

clientVariationMarginPosting

public JulianDate clientVariationMarginPosting()

Retrieve the Last Client Variation Margin Posting (Observation) Date

Returns:

The Last Client Variation Margin Posting (Observation) Date

dealerVariationMarginPosting

public JulianDate dealerVariationMarginPosting()

Retrieve the Last Dealer Variation Margin Posting (Observation) Date

Returns:

The Last Dealer Variation Margin Posting (Observation) Date

clientTradePayment

public JulianDate clientTradePayment()

Retrieve the Last Client Trade Payment (Settlement) Date

Returns:

The Last Client Trade Payment (Settlement) Date

dealerTradePayment

public JulianDate dealerTradePayment()

Retrieve the Last Dealer Trade Payment (Settlement) Date

Returns:

The Last Dealer Trade Payment (Settlement) Date

spot

public JulianDate spot()

Retrieve the Spot Date

Returns:

The Spot Date

etd

public JulianDate etd()

Retrieve the ETD

Returns:

The ETD

variationMarginPeriodStart

public JulianDate variationMarginPeriodStart()

Retrieve the Variation Margin Period Start Date

Returns:

The Variation Margin Period Start Date

variationMarginPeriodEnd

public JulianDate variationMarginPeriodEnd()

Retrieve the Variation Margin Period End Date

Returns:

The Variation Margin Period End Date