Package org.drip.exposure.mpor

Class VariationMarginTrajectoryBuilder

java.lang.Object

org.drip.exposure.mpor.VariationMarginTrajectoryBuilder

public class VariationMarginTrajectoryBuilder
extends java.lang.Object

VariationMarginTrajectoryBuilder builds the Variation Margin Trajectory using several Techniques. 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
VariationMarginTrajectoryBuilder()

Method Summary

Modifier and Type	Method	Description
static java.util.Map<java.lang.Integer,java.lang.Double>	Grid(int[] exposureDateArray, VariationMarginTradePaymentVertex variationMarginTradePaymentVertex, MarketPath marketPath)	Generate the Daily Dense Variation Margin Trade Payment Trajectory

Methods inherited from class java.lang.Object

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

Constructor Details

VariationMarginTrajectoryBuilder

public VariationMarginTrajectoryBuilder()

Method Details

Grid

public static final java.util.Map<java.lang.Integer,java.lang.Double> Grid(int[] exposureDateArray,
VariationMarginTradePaymentVertex variationMarginTradePaymentVertex,
MarketPath marketPath)

Generate the Daily Dense Variation Margin Trade Payment Trajectory

Parameters:

exposureDateArray - The Exposure Date Array

variationMarginTradePaymentVertex - The Variation Margin Trade Payment Vertex Generator

marketPath - The Market Path

Returns:

The Daily Dense Variation Margin Trade Payment Trajectory