Package org.drip.exposure.mpor

Class CollateralAmountEstimatorOutput

java.lang.Object

org.drip.exposure.mpor.CollateralAmountEstimatorOutput

public class CollateralAmountEstimatorOutput
extends java.lang.Object

CollateralAmountEstimatorOutput contains the Estimation Output of the Hypothecation Collateral 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
CollateralAmountEstimatorOutput(JulianDate dealerMarginDate, JulianDate clientMarginDate, double dealerWindowMarginValue, double dealerCollateralThreshold, double dealerPostingRequirement, double clientWindowMarginValue, double clientCollateralThreshold, double clientPostingRequirement, double postingRequirement)	CollateralAmountEstimatorOutput Constructor

Method Summary

Modifier and Type	Method	Description
double	clientCollateralThreshold()	Retrieve the Client Collateral Threshold
JulianDate	clientMarginDate()	Retrieve the Client Margin Date
double	clientPostingRequirement()	Retrieve the Client Posting Requirement
double	clientWindowMarginValue()	Retrieve the Margin Value at the Client Default Window
double	dealerCollateralThreshold()	Retrieve the Dealer Collateral Threshold
JulianDate	dealerMarginDate()	Retrieve the Dealer Margin Date
double	dealerPostingRequirement()	Retrieve the Dealer Posting Requirement
double	dealerWindowMarginValue()	Retrieve the Margin Value at the Dealer Default Window
double	postingRequirement()	Retrieve the Total Collateral Posting Requirement

Methods inherited from class java.lang.Object

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

Constructor Details

CollateralAmountEstimatorOutput

public CollateralAmountEstimatorOutput(JulianDate dealerMarginDate,
JulianDate clientMarginDate,
double dealerWindowMarginValue,
double dealerCollateralThreshold,
double dealerPostingRequirement,
double clientWindowMarginValue,
double clientCollateralThreshold,
double clientPostingRequirement,
double postingRequirement)
                                throws java.lang.Exception

CollateralAmountEstimatorOutput Constructor

Parameters:

dealerMarginDate - The Dealer Margin Date

clientMarginDate - The Client Margin Date

dealerWindowMarginValue - The Margin Value at the Dealer Default Window

dealerCollateralThreshold - The Dealer Collateral Threshold

dealerPostingRequirement - The Dealer Collateral Posting Requirement

clientWindowMarginValue - The Margin Value at the Client Default Window

clientCollateralThreshold - The Client Collateral Threshold

clientPostingRequirement - The Client Collateral Posting Requirement

postingRequirement - The Total Collateral Posting Requirement

Throws:

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

Method Details

dealerMarginDate

public JulianDate dealerMarginDate()

Retrieve the Dealer Margin Date

Returns:

The Dealer Margin Date

clientMarginDate

public JulianDate clientMarginDate()

Retrieve the Client Margin Date

Returns:

The Client Margin Date

dealerWindowMarginValue

public double dealerWindowMarginValue()

Retrieve the Margin Value at the Dealer Default Window

Returns:

The Margin Value at the Dealer Default Window

dealerCollateralThreshold

public double dealerCollateralThreshold()

Retrieve the Dealer Collateral Threshold

Returns:

The Dealer Collateral Threshold

dealerPostingRequirement

public double dealerPostingRequirement()

Retrieve the Dealer Posting Requirement

Returns:

The Dealer Posting Requirement

clientWindowMarginValue

public double clientWindowMarginValue()

Retrieve the Margin Value at the Client Default Window

Returns:

The Margin Value at the Client Default Window

clientCollateralThreshold

public double clientCollateralThreshold()

Retrieve the Client Collateral Threshold

Returns:

The Client Collateral Threshold

clientPostingRequirement

public double clientPostingRequirement()

Retrieve the Client Posting Requirement

Returns:

The Client Posting Requirement

postingRequirement

public double postingRequirement()

Retrieve the Total Collateral Posting Requirement

Returns:

The Total Collateral Posting Requirement