Package org.drip.exposure.generator

Class FloatStreamMPoR

java.lang.Object
org.drip.exposure.generator.StreamMPoR
org.drip.exposure.generator.FloatStreamMPoR
All Implemented Interfaces:
VariationMarginTradePaymentVertex
public class FloatStreamMPoR
extends StreamMPoR
FloatStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Float Stream 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 Summary

    Constructors
    Constructor Description
    FloatStreamMPoR​(Stream stream, double notional)
    FloatStreamMPoR Constructor

  • Method Summary

    Modifier and Type Method Description
    TradePayment[] denseTradePaymentArray​(int startDate, int endDate, MarketPath marketPath)
    Estimate the Dense Exposure Vertex Date Trade Payment on all Dates from the specified Start to End
    TradePayment tradePayment​(int forwardDate, MarketPath marketPath)
    Estimate the Exposure Vertex Date Trade Payment
    double variationMarginEstimate​(int forwardDate, MarketPath marketPath)
    Estimate the Vertex Date Variation Margin Estimate

    Methods inherited from class org.drip.exposure.generator.StreamMPoR

    notional, stream

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FloatStreamMPoR

      public FloatStreamMPoR​(Stream stream, double notional) throws java.lang.Exception
      FloatStreamMPoR Constructor
      Parameters:
      stream - The Fixed Coupon Stream Instance
      notional - The Fixed Coupon Stream Notional
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • variationMarginEstimate

      public double variationMarginEstimate​(int forwardDate, MarketPath marketPath) throws java.lang.Exception
      Description copied from interface: VariationMarginTradePaymentVertex
      Estimate the Vertex Date Variation Margin Estimate
      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
      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
      Parameters:
      startDate - The Start Date
      endDate - The Start Date
      marketPath - The Market Path
      Returns:
      The Dense Exposure Vertex Date Trade Payment Array