Package org.drip.exposure.mpor

Interface VariationMarginTradePaymentVertex

All Known Implementing Classes:

FixedStreamMPoR, FixFloatBaselPositionEstimator, FixFloatMPoR, FloatStreamMPoR, NumeraireMPoR, PortfolioMPoR, PositionGroupEstimator, StreamMPoR

public interface VariationMarginTradePaymentVertex

VariationMarginTradePaymentVertex exposes the Generation of the Estimated Variation Margin and the Trade Payment at a Vertex off of 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 = Margin Period Collateral Amount Estimation

Author:

Lakshmi Krishnamurthy

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

Method Details

variationMarginEstimate

double variationMarginEstimate(int vertexDate,
MarketPath marketPath)
                        throws java.lang.Exception

Estimate the Vertex Date Variation Margin Estimate

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

TradePayment tradePayment(int vertexDate,
MarketPath marketPath)

Estimate the Exposure Vertex Date Trade Payment

Parameters:

vertexDate - The Vertex Date

marketPath - The Market Path

Returns:

The Exposure Vertex Date Trade Payment

denseTradePaymentArray

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

Parameters:

startDate - The Start Date

endDate - The Start Date

marketPath - The Market Path

Returns:

The Dense Exposure Vertex Date Trade Payment Array