Package org.drip.exposure.generator

Class StreamMPoR

java.lang.Object

org.drip.exposure.generator.StreamMPoR

All Implemented Interfaces:

VariationMarginTradePaymentVertex

Direct Known Subclasses:

FixedStreamMPoR, FloatStreamMPoR

public abstract class StreamMPoR
extends java.lang.Object
implements VariationMarginTradePaymentVertex

StreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the generic 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

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

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
double	notional()	Retrieve the Underlying Stream Notional
Stream	stream()	Retrieve the Underlying Stream Instance

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.exposure.mpor.VariationMarginTradePaymentVertex

denseTradePaymentArray, tradePayment, variationMarginEstimate

Method Details

stream

public Stream stream()

Retrieve the Underlying Stream Instance

Returns:

The Underlying Stream Instance

notional

public double notional()

Retrieve the Underlying Stream Notional

Returns:

The Underlying Stream Notional