Package org.drip.exposure.mpor

Class VariationMarginTradeVertexExposure

java.lang.Object

org.drip.exposure.mpor.VariationMarginTradeVertexExposure

public class VariationMarginTradeVertexExposure
extends java.lang.Object

VariationMarginTradeVertexExposure holds the Variation Margin, Trade Payments, and Exposures for a specific Forward Vertex Date. 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
VariationMarginTradeVertexExposure(double variationMarginEstimate, double variationMarginPosting, double clientTradePaymentGap, double clientDealerTradePaymentGap, LastFlowDates lastFlowDates)	VariationMarginTradeVertexExposure Constructor

Method Summary

Modifier and Type	Method	Description
double	clientDealerTradePaymentGap()	Retrieve the Client-to-Dealer Net Trade Payment Gap
double	clientTradePaymentGap()	Retrieve the Client Trade Payment Gap
double	collateralizedExposure()	Retrieve the Collateralized Exposure
double	collateralizedPositiveExposure()	Retrieve the Collateralized Positive Exposure
LastFlowDates	lastFlowDates()	Retrieve the Last Flow Dates
double	tradePaymentGap()	Retrieve the Trade Payment Gap
double	variationMarginEstimate()	Retrieve the Calculation Agent Generated Variation Margin Estimate
double	variationMarginGap()	Retrieve the Variation Margin Gap
double	variationMarginPosting()	Retrieve the Actual Variation Margin Posted from Collateral Rules and Operational Delays

Methods inherited from class java.lang.Object

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

Constructor Details

VariationMarginTradeVertexExposure

public VariationMarginTradeVertexExposure(double variationMarginEstimate,
double variationMarginPosting,
double clientTradePaymentGap,
double clientDealerTradePaymentGap,
LastFlowDates lastFlowDates)
                                   throws java.lang.Exception

VariationMarginTradeVertexExposure Constructor

Parameters:

variationMarginEstimate - The Calculation Agent Generated Variation Margin Estimate

variationMarginPosting - The Actual Variation Margin Posted from Collateral Rules and Operational Delays

clientTradePaymentGap - The Client Trade Payment Gap

clientDealerTradePaymentGap - The Client-to-Dealer Net Trade Payment Gap

lastFlowDates - The Last Flow Dates

Throws:

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

Method Details

variationMarginEstimate

public double variationMarginEstimate()

Retrieve the Calculation Agent Generated Variation Margin Estimate

Returns:

The Calculation Agent Generated Variation Margin Estimate

variationMarginPosting

public double variationMarginPosting()

Retrieve the Actual Variation Margin Posted from Collateral Rules and Operational Delays

Returns:

The Actual Variation Margin Posted from Collateral Rules and Operational Delays

variationMarginGap

public double variationMarginGap()

Retrieve the Variation Margin Gap

Returns:

The Variation Margin Gap

clientTradePaymentGap

public double clientTradePaymentGap()

Retrieve the Client Trade Payment Gap

Returns:

The Client Trade Payment Gap

clientDealerTradePaymentGap

public double clientDealerTradePaymentGap()

Retrieve the Client-to-Dealer Net Trade Payment Gap

Returns:

The Client-to-Dealer Net Trade Payment Gap

tradePaymentGap

public double tradePaymentGap()

Retrieve the Trade Payment Gap

Returns:

The Trade Payment Gap

collateralizedExposure

public double collateralizedExposure()

Retrieve the Collateralized Exposure

Returns:

The Collateralized Exposure

collateralizedPositiveExposure

public double collateralizedPositiveExposure()

Retrieve the Collateralized Positive Exposure

Returns:

The Collateralized Positive Exposure

lastFlowDates

public LastFlowDates lastFlowDates()

Retrieve the Last Flow Dates

Returns:

The Last Flow Dates