Package org.drip.exposure.regressiontrade

Class AdjustedVariationMarginEstimator

java.lang.Object
org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
public class AdjustedVariationMarginEstimator
extends java.lang.Object
AdjustedVariationMarginEstimator coordinates the Generation of the Path-specific Trade Payment Adjusted Variation Margin Flows. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • AdjustedVariationMarginEstimator

      public AdjustedVariationMarginEstimator​(VariationMarginTradePaymentVertex marginTradePaymentGenerator, MarketPath marketPath) throws java.lang.Exception
      AdjustedVariationMarginEstimator Constructor
      Parameters:
      marginTradePaymentGenerator - The Path-wise Variation Margin/Trade Payment Generator
      marketPath - The Market Path
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • marginTradePaymentGenerator

      public VariationMarginTradePaymentVertex marginTradePaymentGenerator()
      Retrieve the Path-wise Variation Margin/Trade Payment Generator
      Returns:
      The Path-wise Variation Margin/Trade Payment Generator

    • marketPath

      public MarketPath marketPath()
      Retrieve the Path-wise Market Path
      Returns:
      The Path-wise Market Path

    • variationMarginEstimate

      public double[] variationMarginEstimate​(int[] exposureDateArray)
      Generate the Path-wise Variation Margin Estimate on the Exposure Dates
      Parameters:
      exposureDateArray - The Path-wise Exposure Dates
      Returns:
      The Path-wise Variation Margin Estimate on the Exposure Dates

    • denseTradePayment

      public TradePayment[] denseTradePayment​(int startDate, int endDate)
      Retrieve the Dense Trade Payment Array across the Exposure Date Range
      Parameters:
      startDate - The Exposure Range Start Date
      endDate - The Exposure Range End Date
      Returns:
      The Dense Trade Payment Array

    • andersenPykhtinSokolPath

      public AndersenPykhtinSokolPath andersenPykhtinSokolPath​(int[] exposureDateArray)
      Generate the Path-wise Andersen Pykhtin Sokol (2017) Variation Margin Estimates on the Exposure Dates
      Parameters:
      exposureDateArray - The Path-wise Exposure Dates
      Returns:
      The Path-wise Andersen Pykhtin Sokol (2017) Variation Margin Estimates on the Exposure Dates

    • adjustedVariationMarginEstimate

      public AdjustedVariationMarginEstimate adjustedVariationMarginEstimate​(int[] exposureDateArray)
      Generate the Path-wise Andersen Pykhtin Sokol (2017) Adjusted Variation Margin Estimates
      Parameters:
      exposureDateArray - The Path-wise Exposure Dates
      Returns:
      The Path-wise Andersen Pykhtin Sokol (2017) Adjusted Variation Margin Estimates