Package org.drip.exposure.regressiontrade

Class AdjustedVariationMarginDynamics

java.lang.Object

org.drip.exposure.regressiontrade.AdjustedVariationMarginDynamics

public class AdjustedVariationMarginDynamics
extends java.lang.Object

AdjustedVariationMarginDynamics builds the Dynamics of the Sparse Path Adjusted Variation Margin. 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
• Pykhtin, M. (2009): Modeling Counter-party Credit Exposure in the Presence of Margin Agreements http://www.risk-europe.com/protected/michael-pykhtin.pdf

• Module = Portfolio Core Module
• Library = Exposure Analytics
• Project = Exposure Group Level Collateralized/Uncollateralized Exposure
• Package = Exposure Regression under Margin and Trade Payments

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
AdjustedVariationMarginDynamics(AdjustedVariationMarginEstimate[] pathAdjustedVariationMarginEstimate)	AdjustedVariationMarginDynamics Constructor

Method Summary

Modifier and Type	Method	Description
AdjustedVariationMarginEstimate[]	adjustedVariationMarginEstimateArray()	Retrieve the Adjusted Variation Margin Estimate Array
PykhtinPillarDynamics[]	pillarDynamics()	Generate the Dynamics of the Sparse Pillar a.k.a Pykhtin (2009)

Methods inherited from class java.lang.Object

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

Constructor Details

AdjustedVariationMarginDynamics

public AdjustedVariationMarginDynamics(AdjustedVariationMarginEstimate[] pathAdjustedVariationMarginEstimate)
                                throws java.lang.Exception

AdjustedVariationMarginDynamics Constructor

Parameters:

pathAdjustedVariationMarginEstimate - The Path-wise Adjusted Variation Margin Estimate Array

Throws:

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

Method Details

adjustedVariationMarginEstimateArray

public AdjustedVariationMarginEstimate[] adjustedVariationMarginEstimateArray()

Retrieve the Adjusted Variation Margin Estimate Array

Returns:

The Adjusted Variation Margin Estimate Array

pillarDynamics

public PykhtinPillarDynamics[] pillarDynamics()

Generate the Dynamics of the Sparse Pillar a.k.a Pykhtin (2009)

Returns:

The Pykhtin Pillar Dynamics Array