Package org.drip.exposure.csatimeline

Time-line of IMA/CSA Event Dates
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AndersenPykhtinSokolLag
    AndersenPykhtinSokolLag holds the Client/Dealer Margin Flow and Trade Flow Lags using the Parameterization laid out in Andersen, Pykhtin, and Sokol (2017).
    EventDate
    EventDate holds a specific Date composing BCBS/IOSCO prescribed Events Time-line occurring Margin Period.
    EventDateBuilder
    EventDateBuilder builds the CSA BCBS/IOSCO Dates prescribed Events Time-line occurring Margin Period.
    EventSequence
    EventSequence holds the BCBS/IOSCO prescribed Events Time-line occurring Margin Period.
    LastFlowDates
    LastFlowDates holds the Last Client/Dealer Margin Flow and Trade Flow Dates using the Parameterization laid out in Andersen, Pykhtin, and Sokol (2017).