Package org.drip.exposure.generator

Class FixFloatMPoR

java.lang.Object
org.drip.exposure.generator.FixFloatMPoR
All Implemented Interfaces:
VariationMarginTradePaymentVertex
public class FixFloatMPoR
extends java.lang.Object
implements VariationMarginTradePaymentVertex
FixFloatMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fix Float Component off of the Realized Market Path. 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
  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 eSSRN
  • Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • FixFloatMPoR

      public FixFloatMPoR​(FixFloatComponent fixFloatComponent, double notional) throws java.lang.Exception
      FixFloatMPoR Constructor
      Parameters:
      fixFloatComponent - The Fix Float Component Instance
      notional - The Fix Float Component Notional
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • fixedStreamMPoR

      public FixedStreamMPoR fixedStreamMPoR()
      Retrieve the Fixed Stream MPoR
      Returns:
      The Fixed Stream MPoR

    • floatStreamMPoR

      public FloatStreamMPoR floatStreamMPoR()
      Retrieve the Float Stream MPoR
      Returns:
      The Float Stream MPoR

    • notional

      public double notional()
      Retrieve the Underlying Fix Float Notional
      Returns:
      The Underlying Fix Float Notional

    • variationMarginEstimate

      public double variationMarginEstimate​(int forwardDate, MarketPath marketPath) throws java.lang.Exception
      Description copied from interface: VariationMarginTradePaymentVertex
      Estimate the Vertex Date Variation Margin Estimate
      Specified by:
      variationMarginEstimate in interface VariationMarginTradePaymentVertex
      Parameters:
      forwardDate - The Vertex Date
      marketPath - The Market Path
      Returns:
      Exposure Date Variation Margin Estimate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • tradePayment

      public TradePayment tradePayment​(int forwardDate, MarketPath marketPath)
      Description copied from interface: VariationMarginTradePaymentVertex
      Estimate the Exposure Vertex Date Trade Payment
      Specified by:
      tradePayment in interface VariationMarginTradePaymentVertex
      Parameters:
      forwardDate - The Vertex Date
      marketPath - The Market Path
      Returns:
      The Exposure Vertex Date Trade Payment

    • denseTradePaymentArray

      public TradePayment[] denseTradePaymentArray​(int startDate, int endDate, MarketPath marketPath)
      Description copied from interface: VariationMarginTradePaymentVertex
      Estimate the Dense Exposure Vertex Date Trade Payment on all Dates from the specified Start to End
      Specified by:
      denseTradePaymentArray in interface VariationMarginTradePaymentVertex
      Parameters:
      startDate - The Start Date
      endDate - The Start Date
      marketPath - The Market Path
      Returns:
      The Dense Exposure Vertex Date Trade Payment Array