Package org.drip.exposure.mpor

Class CollateralAmountEstimator

java.lang.Object

org.drip.exposure.mpor.CollateralAmountEstimator

public class CollateralAmountEstimator
extends java.lang.Object

CollateralAmountEstimator estimates the Amount of Collateral Hypothecation that is to be Posted during a Single Run of a Collateral Hypothecation Group Valuation. The References are:

• 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 (2014): In the Balance, Risk, 24 (11) 72-75
• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
• 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 = Margin Period Collateral Amount Estimation

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CollateralAmountEstimator(PositionGroupSpecification positionGroupSpecification, BrokenDateInterpolator brokenDateInterpolator, double currentBalance)	CollateralAmountEstimator Constructor

Method Summary

Modifier and Type	Method	Description
BrokenDateInterpolator	brokenDateBridge()	Retrieve the Stochastic Value Broken Date Bridge Estimator
double	clientPostingRequirement(JulianDate valuationDateJulian)	Calculate the Margin Amount Required to be Posted by the Client
double	clientThreshold(JulianDate valuationDateJulian)	Calculate the Client Margin Threshold
double	clientWindowMarginValue(JulianDate valuationDateJulian)	Calculate the Margin Value at the Client Default Window
double	currentCollateralBalance()	Retrieve the Current Collateral Balance
double	dealerPostingRequirement(JulianDate valuationDateJulian)	Calculate the Margin Amount Required to be Posted by the Dealer
double	dealerThreshold(JulianDate valuationDateJulian)	Calculate the Dealer Margin Threshold
double	dealerWindowMarginValue(JulianDate valuationDateJulian)	Calculate the Margin Value at the Dealer Default Window
CollateralAmountEstimatorOutput	output(JulianDate valuationDateJulian)	Generate the MarginAmountEstimatorOutput Instance
PositionGroupSpecification	positionGroupSpecification()	Retrieve the Position Group Specification
double	postingRequirement(JulianDate valuationDateJulian)	Calculate the Gross Margin Amount Required to be Posted

Methods inherited from class java.lang.Object

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

Constructor Details

CollateralAmountEstimator

public CollateralAmountEstimator(PositionGroupSpecification positionGroupSpecification,
BrokenDateInterpolator brokenDateInterpolator,
double currentBalance)
                          throws java.lang.Exception

CollateralAmountEstimator Constructor

Parameters:

positionGroupSpecification - The Position Group Specification

brokenDateInterpolator - The Stochastic Value Broken Date Bridge Estimator

currentBalance - The Current Collateral Balance

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

positionGroupSpecification

public PositionGroupSpecification positionGroupSpecification()

Retrieve the Position Group Specification

Returns:

The Position Group Specification

brokenDateBridge

public BrokenDateInterpolator brokenDateBridge()

Retrieve the Stochastic Value Broken Date Bridge Estimator

Returns:

The Stochastic Value Broken Date Bridge Estimator

currentCollateralBalance

public double currentCollateralBalance()

Retrieve the Current Collateral Balance

Returns:

The Current Collateral Balance

dealerWindowMarginValue

public double dealerWindowMarginValue(JulianDate valuationDateJulian)
                               throws java.lang.Exception

Calculate the Margin Value at the Dealer Default Window

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The Margin Value at the Dealer Default Window

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

dealerThreshold

public double dealerThreshold(JulianDate valuationDateJulian)
                       throws java.lang.Exception

Calculate the Dealer Margin Threshold

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The Dealer Margin Threshold

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

dealerPostingRequirement

public double dealerPostingRequirement(JulianDate valuationDateJulian)
                                throws java.lang.Exception

Calculate the Margin Amount Required to be Posted by the Dealer

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The Margin Amount Required to be Posted by the Dealer

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

clientWindowMarginValue

public double clientWindowMarginValue(JulianDate valuationDateJulian)
                               throws java.lang.Exception

Calculate the Margin Value at the Client Default Window

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The Margin Value at the Client Default Window

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

clientThreshold

public double clientThreshold(JulianDate valuationDateJulian)
                       throws java.lang.Exception

Calculate the Client Margin Threshold

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The Client Margin Threshold

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

clientPostingRequirement

public double clientPostingRequirement(JulianDate valuationDateJulian)
                                throws java.lang.Exception

Calculate the Margin Amount Required to be Posted by the Client

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The Margin Amount Required to be Posted by the Client

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

postingRequirement

public double postingRequirement(JulianDate valuationDateJulian)
                          throws java.lang.Exception

Calculate the Gross Margin Amount Required to be Posted

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The Gross Margin Amount Required to be Posted

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

output

public CollateralAmountEstimatorOutput output(JulianDate valuationDateJulian)

Generate the MarginAmountEstimatorOutput Instance

Parameters:

valuationDateJulian - The Valuation Date

Returns:

The MarginAmountEstimatorOutput Instance