Package org.drip.exposure.generator

Class NumeraireMPoR

java.lang.Object
org.drip.exposure.generator.NumeraireMPoR
All Implemented Interfaces:
VariationMarginTradePaymentVertex
public class NumeraireMPoR
extends java.lang.Object
implements VariationMarginTradePaymentVertex
NumeraireMPoR estimates the MPoR Variation Margin and the Trade Payments for the generic Numeraire 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
  • Pykhtin, M. (2009): Modeling Counter-party Credit Exposure in the Presence of Margin Agreements http://www.risk-europe.com/protected/michael-pykhtin.pdf


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    NumeraireMPoR​(LatentStateLabel latentStateLabel, double notional)
    NumeraireMPoR 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
    LatentStateLabel latentStateLabel()
    Retrieve the Latent State Label
    double notional()
    Retrieve the Notional
    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 java.lang.Object

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

  • Constructor Details

    • NumeraireMPoR

      public NumeraireMPoR​(LatentStateLabel latentStateLabel, double notional) throws java.lang.Exception
      NumeraireMPoR Constructor
      Parameters:
      latentStateLabel - The Latent State Label
      notional - The Notional
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • notional

      public double notional()
      Retrieve the Notional
      Returns:
      The Notional

    • latentStateLabel

      public LatentStateLabel latentStateLabel()
      Retrieve the Latent State Label
      Returns:
      The Latent State Label

    • 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