Package org.drip.exposure.holdings

Class PositionGroupEstimator

java.lang.Object

org.drip.exposure.holdings.PositionGroupEstimator

All Implemented Interfaces:

VariationMarginTradePaymentVertex

Direct Known Subclasses:

FixFloatBaselPositionEstimator

public class PositionGroupEstimator
extends java.lang.Object
implements VariationMarginTradePaymentVertex

PositionGroupEstimator evaluates the Value of the Position Group given the Realized Market Path. 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

• Module = Portfolio Core Module
• Library = Exposure Analytics
• Project = Exposure Group Level Collateralized/Uncollateralized Exposure
• Package = Holdings Exposure - Position and Dependencies

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PositionGroupEstimator()	Empty PositionGroupNumeraire 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
TradePayment	tradePayment(int vertexDate, MarketPath marketPath)	Estimate the Exposure Vertex Date Trade Payment
double	variationMarginEstimate(int vertexDate, 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

PositionGroupEstimator

public PositionGroupEstimator()

Empty PositionGroupNumeraire Constructor

Method Details

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

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

tradePayment

public TradePayment tradePayment(int vertexDate,
MarketPath marketPath)

Description copied from interface: VariationMarginTradePaymentVertex

Estimate the Exposure Vertex Date Trade Payment

Specified by:

tradePayment in interface VariationMarginTradePaymentVertex

Parameters:

vertexDate - 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