Package org.drip.exposure.mpor

Class PathVariationMarginTrajectoryEstimator

java.lang.Object

org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator

public class PathVariationMarginTrajectoryEstimator
extends java.lang.Object

PathVariationMarginTrajectoryEstimator computes the Variation Margin Estimate/Posting from the specified Dense Uncollateralized Exposures and Trade Payments along the specified Path Trajectory. 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 = Margin Period Collateral Amount Estimation

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PathVariationMarginTrajectoryEstimator(int[] exposureDateArray, java.lang.String calendar, java.util.Map<java.lang.Integer,java.lang.Double> variationMarginEstimateTrajectory, TradePayment[] tradePaymentTrajectory, AndersenPykhtinSokolLag csaTimelineLag)	PathVariationMarginTrajectoryEstimator Constructor

Method Summary

Modifier and Type	Method	Description
java.lang.String	calendar()	Retrieve the Date Adjustment Calendar
LastFlowDates[]	csaEventDates()	Generate the Array of CSA Event Dates
int[]	exposureDateArray()	Retrieve the Array of Exposure Dates
static PathVariationMarginTrajectoryEstimator	Standard(int[] exposureDateArray, java.lang.String calendar, VariationMarginTradePaymentVertex variationMarginTradePaymentVertex, MarketPath marketPath, AndersenPykhtinSokolLag csaTimelineLag)	Generate a Standard Instance of PathVariationMarginTrajectoryEstimator
TradePayment[]	tradePaymentTrajectory()	Retrieve the Trade Payment Trajectory
boolean	tradePaymentTrajectory(java.util.Map<java.lang.Integer,java.lang.Double> clientTradePaymentTrajectory, java.util.Map<java.lang.Integer,java.lang.Double> dealerTradePaymentTrajectory)	Generate the Client and the Dealer Trade Payment Trajectories
java.util.Map<java.lang.Integer,VariationMarginTradeVertexExposure>	trajectory()	Retrieve the Variation Margin Trade Payment Exposure Trajectory
java.util.Map<java.lang.Integer,java.lang.Double>	variationMarginEstimateTrajectory()	Retrieve the Variation Margin Estimate Trajectory

Methods inherited from class java.lang.Object

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

Constructor Details

PathVariationMarginTrajectoryEstimator

public PathVariationMarginTrajectoryEstimator(int[] exposureDateArray,
java.lang.String calendar,
java.util.Map<java.lang.Integer,java.lang.Double> variationMarginEstimateTrajectory,
TradePayment[] tradePaymentTrajectory,
AndersenPykhtinSokolLag csaTimelineLag)
                                       throws java.lang.Exception

PathVariationMarginTrajectoryEstimator Constructor

Parameters:

exposureDateArray - Array of Exposure Dates

calendar - The Date Adjustment Calendar

variationMarginEstimateTrajectory - The Variation Margin Estimate Trajectory

tradePaymentTrajectory - The Trade Payment Trajectory

csaTimelineLag - The CSA Time-line Lag Parameters

Throws:

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

Method Details

Standard

public static final PathVariationMarginTrajectoryEstimator Standard(int[] exposureDateArray,
java.lang.String calendar,
VariationMarginTradePaymentVertex variationMarginTradePaymentVertex,
MarketPath marketPath,
AndersenPykhtinSokolLag csaTimelineLag)

Generate a Standard Instance of PathVariationMarginTrajectoryEstimator

Parameters:

exposureDateArray - Array of Exposure Dates

calendar - The Date Adjustment Calendar

variationMarginTradePaymentVertex - The Variation Margin Trade Payment Trajectory Generator

marketPath - The Market Path

csaTimelineLag - The CSA Time-line Lag Parameters

Returns:

The Standard Instance of PathVariationMarginTrajectoryEstimator

exposureDateArray

public int[] exposureDateArray()

Retrieve the Array of Exposure Dates

Returns:

The Array of Exposure Dates

calendar

public java.lang.String calendar()

Retrieve the Date Adjustment Calendar

Returns:

The Date Adjustment Calendar

variationMarginEstimateTrajectory

public java.util.Map<java.lang.Integer,java.lang.Double> variationMarginEstimateTrajectory()

Retrieve the Variation Margin Estimate Trajectory

Returns:

The Variation Margin Estimate Trajectory

tradePaymentTrajectory

public TradePayment[] tradePaymentTrajectory()

Retrieve the Trade Payment Trajectory

Returns:

The Trade Payment Trajectory

tradePaymentTrajectory

public boolean tradePaymentTrajectory(java.util.Map<java.lang.Integer,java.lang.Double> clientTradePaymentTrajectory,
java.util.Map<java.lang.Integer,java.lang.Double> dealerTradePaymentTrajectory)

Generate the Client and the Dealer Trade Payment Trajectories

Parameters:

clientTradePaymentTrajectory - The Client Trade Payment Trajectory

dealerTradePaymentTrajectory - The Dealer Trade Payment Trajectory

Returns:

TRUE - The Client and the Dealer Trade Payment Trajectories successfully generated

csaEventDates

public LastFlowDates[] csaEventDates()

Generate the Array of CSA Event Dates

Returns:

Array of CSA Event Dates

trajectory

public java.util.Map<java.lang.Integer,VariationMarginTradeVertexExposure> trajectory()

Retrieve the Variation Margin Trade Payment Exposure Trajectory

Returns:

The Variation Margin Trade Payment Exposure Trajectory