Package org.drip.exposure.generator

Rates Stream Margin Period Exposure
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FixedStreamMPoR
    FixedStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fixed Coupon Stream off of the Realized Market Path.
    FixFloatMPoR
    FixFloatMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fix Float Component off of the Realized Market Path.
    FloatStreamMPoR
    FloatStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Float Stream off of the Realized Market Path.
    NumeraireMPoR
    NumeraireMPoR estimates the MPoR Variation Margin and the Trade Payments for the generic Numeraire off of the Realized Market Path.
    PortfolioMPoR
    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.
    StreamMPoR
    StreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the generic Stream off of the Realized Market Path.