Package org.drip.exposure.mpor

Margin Period Collateral Amount Estimation

Author:

Lakshmi Krishnamurthy

Interface Summary

Interface	Description
VariationMarginTradePaymentVertex	VariationMarginTradePaymentVertex exposes the Generation of the Estimated Variation Margin and the Trade Payment at a Vertex off of the Realized Market Path.

Class Summary

Class	Description
CollateralAmountEstimator	CollateralAmountEstimator estimates the Amount of Collateral Hypothecation that is to be Posted during a Single Run of a Collateral Hypothecation Group Valuation.
CollateralAmountEstimatorOutput	CollateralAmountEstimatorOutput contains the Estimation Output of the Hypothecation Collateral that is to be Posted during a Single Run of a Collateral Hypothecation Group Valuation.
MarginPeriodOfRisk	MarginPeriodOfRisk contains the Margining Information associated with the Client Exposure.
PathVariationMarginTrajectoryEstimator	PathVariationMarginTrajectoryEstimator computes the Variation Margin Estimate/Posting from the specified Dense Uncollateralized Exposures and Trade Payments along the specified Path Trajectory.
TradePayment	TradePayment holds the Dealer (Negative) and Client (Positive) Trade Payments at an Exposure Date.
VariationMarginTradeVertexExposure	VariationMarginTradeVertexExposure holds the Variation Margin, Trade Payments, and Exposures for a specific Forward Vertex Date.
VariationMarginTrajectoryBuilder	VariationMarginTrajectoryBuilder builds the Variation Margin Trajectory using several Techniques.