Package org.drip.exposure.holdings

Class FixFloatBaselPositionEstimator

java.lang.Object
org.drip.exposure.holdings.PositionGroupEstimator
org.drip.exposure.holdings.FixFloatBaselPositionEstimator
All Implemented Interfaces:
VariationMarginTradePaymentVertex
public class FixFloatBaselPositionEstimator
extends PositionGroupEstimator
FixFloatBaselPositionEstimator evaluates the Value of a Fix Float Position Group given the Realized Market Path using the Basel Scheme. The References are:

  • Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies Risk 23 (12) 82-87
  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  • Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter- party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  • 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 Details

    • FixFloatBaselPositionEstimator

      public FixFloatBaselPositionEstimator​(int maturityDate, OTCFixFloatLabel otcFixFloatLabel) throws java.lang.Exception
      FixFloatBaselPositionEstimator Constructor
      Parameters:
      maturityDate - The Fix Float Maturity Date
      otcFixFloatLabel - OTC Fix Float Label
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • maturityDate

      public int maturityDate()
      Retrieve the Maturity Date
      Returns:
      The Maturity Date

    • otcFixFloatLabel

      public OTCFixFloatLabel otcFixFloatLabel()
      Retrieve the OTC Fix Float Label
      Returns:
      The OTC Fix Float Label

    • variationMarginEstimate

      public double variationMarginEstimate​(int vertexDate, MarketPath marketPath) throws java.lang.Exception
      Description copied from interface: VariationMarginTradePaymentVertex
      Estimate the Vertex Date Variation Margin Estimate
      Specified by:
      variationMarginEstimate in interface VariationMarginTradePaymentVertex
      Overrides:
      variationMarginEstimate in class PositionGroupEstimator
      Parameters:
      vertexDate - The Vertex Date
      marketPath - The Market Path
      Returns:
      Exposure Date Variation Margin Estimate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid