Package org.drip.exposure.mpor

Class MarginPeriodOfRisk

java.lang.Object
org.drip.exposure.mpor.MarginPeriodOfRisk
public class MarginPeriodOfRisk
extends java.lang.Object
MarginPeriodOfRisk contains the Margining Information associated with the Client Exposure. 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


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int MPOR_INTERPOLATION_BROWNIAN_BRIDGE
    MPoR Interpolation Type - BROWNIAN_BRIDGE
    static int MPOR_INTERPOLATION_LINEAR
    MPoR Interpolation Type - LINEAR
    static int MPOR_INTERPOLATION_SQRT_T
    MPoR Interpolation Type - SQRT_T

  • Constructor Summary

    Constructors
    Constructor Description
    MarginPeriodOfRisk​(int marginCallFrequency, int interpolationType)
    MarginPeriodOfRisk Constructor

  • Method Summary

    Modifier and Type Method Description
    int interpolationType()
    Retrieve the MPoR Interpolation Type
    int marginCallFrequency()
    Retrieve the MPoR Margin Call Frequency
    static MarginPeriodOfRisk Standard()
    Construct a Standard Instance of MarginPeriodOfRisk

    Methods inherited from class java.lang.Object

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

  • Field Details

    • MPOR_INTERPOLATION_LINEAR

      public static final int MPOR_INTERPOLATION_LINEAR
      MPoR Interpolation Type - LINEAR
      See Also:
      Constant Field Values

    • MPOR_INTERPOLATION_SQRT_T

      public static final int MPOR_INTERPOLATION_SQRT_T
      MPoR Interpolation Type - SQRT_T
      See Also:
      Constant Field Values

    • MPOR_INTERPOLATION_BROWNIAN_BRIDGE

      public static final int MPOR_INTERPOLATION_BROWNIAN_BRIDGE
      MPoR Interpolation Type - BROWNIAN_BRIDGE
      See Also:
      Constant Field Values

  • Constructor Details

    • MarginPeriodOfRisk

      public MarginPeriodOfRisk​(int marginCallFrequency, int interpolationType) throws java.lang.Exception
      MarginPeriodOfRisk Constructor
      Parameters:
      marginCallFrequency - The MPoR Margin Call Frequency
      interpolationType - The MPoR Interpolation Type
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final MarginPeriodOfRisk Standard()
      Construct a Standard Instance of MarginPeriodOfRisk
      Returns:
      The Standard Instance of MarginPeriodOfRisk

    • marginCallFrequency

      public int marginCallFrequency()
      Retrieve the MPoR Margin Call Frequency
      Returns:
      The MPoR Margin Call Frequency

    • interpolationType

      public int interpolationType()
      Retrieve the MPoR Interpolation Type
      Returns:
      The MPoR Interpolation Type