Package org.drip.exposure.regression

Class AndersenPykhtinSokolSegment

java.lang.Object

org.drip.exposure.regression.AndersenPykhtinSokolSegment

public class AndersenPykhtinSokolSegment
extends java.lang.Object

AndersenPykhtinSokolSegment generates the Segment Regression Based Exposures off of the corresponding Pillar Vertexes using the Pykhtin (2009) Scheme with the Andersen, Pykhtin, and Sokol (2017) Adjustments applied. The References are:

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 eSSRN
• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
• Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 eSSRN
• 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 = Regression Based Path Exposure Generation

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
AndersenPykhtinSokolSegment(int epochDate, PillarVertex leftPillar, PillarVertex rightPillar, R1ToR1 rightPillarLocalVolatility)	AndersenPykhtinSokolSegment Constructor

Method Summary

Modifier and Type	Method	Description
boolean	denseExposureTrajectoryUpdate(double[] denseExposureTrajectory, double[] wanderTrajectory)	Generate the Dense (Complete) Segment Exposures
int	epochDate()	Retrieve the Epoch Date
PillarVertex	leftPillar()	Retrieve the Left Pillar Vertex
PillarVertex	rightPillar()	Retrieve the Right Pillar Vertex
R1ToR1	rightPillarLocalVolatility()	Retrieve the Right Pillar Local Volatility

Methods inherited from class java.lang.Object

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

Constructor Details

AndersenPykhtinSokolSegment

public AndersenPykhtinSokolSegment(int epochDate,
PillarVertex leftPillar,
PillarVertex rightPillar,
R1ToR1 rightPillarLocalVolatility)
                            throws java.lang.Exception

AndersenPykhtinSokolSegment Constructor

Parameters:

epochDate - The Path Epoch Date

leftPillar - The Left Pillar Vertex

rightPillar - The Right Pillar Vertex

rightPillarLocalVolatility - The Right Pillar Local Volatility

Throws:

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

Method Details

epochDate

public int epochDate()

Retrieve the Epoch Date

Returns:

The Epoch Date

leftPillar

public PillarVertex leftPillar()

Retrieve the Left Pillar Vertex

Returns:

The Left Pillar Vertex

rightPillar

public PillarVertex rightPillar()

Retrieve the Right Pillar Vertex

Returns:

The Right Pillar Vertex

rightPillarLocalVolatility

public R1ToR1 rightPillarLocalVolatility()

Retrieve the Right Pillar Local Volatility

Returns:

The Right Pillar Local Volatility

denseExposureTrajectoryUpdate

public boolean denseExposureTrajectoryUpdate(double[] denseExposureTrajectory,
double[] wanderTrajectory)

Generate the Dense (Complete) Segment Exposures

Parameters:

denseExposureTrajectory - The Dense Exposure Trajectory

wanderTrajectory - The Wander Date Trajectory

Returns:

The Dense (Complete) Segment Exposures