Package org.drip.exposure.generator

Class PortfolioMPoR

java.lang.Object

org.drip.exposure.generator.PortfolioMPoR

All Implemented Interfaces:

VariationMarginTradePaymentVertex

public class PortfolioMPoR
extends java.lang.Object
implements VariationMarginTradePaymentVertex

PortfolioMPoR estimates the MPoR Variation Margin and the Trade Payments for the Component MPoR's of a given Portfolio 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

• Module = Portfolio Core Module
• Library = Exposure Analytics
• Project = Exposure Group Level Collateralized/Uncollateralized Exposure
• Package = Rates Stream Margin Period Exposure

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PortfolioMPoR()

Method Summary

Modifier and Type	Method	Description
java.util.List<VariationMarginTradePaymentVertex>	componentMPoRList()	Retrieve the List of Component MPoR's
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 java.lang.Object

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

Constructor Details

PortfolioMPoR

public PortfolioMPoR()

Method Details

componentMPoRList

public java.util.List<VariationMarginTradePaymentVertex> componentMPoRList()

Retrieve the List of Component MPoR's

Returns:

The List of Component MPoR's

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