Package org.drip.exposure.regressiontrade

Class AndersenPykhtinSokolEnsemble

java.lang.Object

org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble

public class AndersenPykhtinSokolEnsemble
extends java.lang.Object

AndersenPykhtinSokolEnsemble adjusts the Variation Margin, computes Path-wise Local Volatility, and eventually estimates the Path-wise Unadjusted Variation Margin across the Suite of Simulated Paths. 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
AndersenPykhtinSokolEnsemble(VariationMarginTradePaymentVertex marginTradePaymentGenerator, MarketPath[] marketPathArray, int[] sparseExposureDateArray)	AndersenPykhtinSokolEnsemble Constructor

Method Summary

Modifier and Type	Method	Description
AndersenPykhtinSokolTrajectory[]	denseTrajectory(LocalVolatilityGenerationControl localVolatilityGenerationControl, double[][] wanderEnsemble)	Generate the Dense Variation Margin Trajectory
double[][]	denseVariationMargin(LocalVolatilityGenerationControl localVolatilityGenerationControl, double[][] wanderEnsemble)	Generate the Path-wise Dense Variation Margin Array
AdjustedVariationMarginDynamics	ensembleAdjustedVariationMarginDynamics()	Generate the Ensemble Adjusted Variation Margin Dynamics
PykhtinPillarDynamics[]	ensemblePillarDynamics()	Generate the Ensemble Pillar Dynamics Array
VariationMarginTradePaymentVertex	marginTradePaymentGenerator()	Retrieve the Path-wise Variation Margin/Trade Payment Generator
MarketPath[]	marketPathArray()	Retrieve the Array of Market Paths
AdjustedVariationMarginEstimate[]	pathAdjustedVariationMarginEstimate()	Generate the Path-wise Adjusted Variation Margin Estimate
AdjustedVariationMarginEstimator[]	pathAdjustedVariationMarginEstimator()	Generate the Path-wise Adjusted Variation Margin Estimator
int	pathCount()	Retrieve the Number of Simulation Paths
int[]	sparseExposureDateArray()	Retrieve the Array of Sparse Exposure Dates
int	sparseExposureDateCount()	Retrieve the Number of Sparse Exposure Dates

Methods inherited from class java.lang.Object

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

Constructor Details

AndersenPykhtinSokolEnsemble

public AndersenPykhtinSokolEnsemble(VariationMarginTradePaymentVertex marginTradePaymentGenerator,
MarketPath[] marketPathArray,
int[] sparseExposureDateArray)
                             throws java.lang.Exception

AndersenPykhtinSokolEnsemble Constructor

Parameters:

marginTradePaymentGenerator - The Variation Margin Estimate and the Trade Payment Generator

marketPathArray - Array of Market Paths

sparseExposureDateArray - Array of Sparse Exposure Dates

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

marketPathArray

public MarketPath[] marketPathArray()

Retrieve the Array of Market Paths

Returns:

The Array of Market Paths

sparseExposureDateArray

public int[] sparseExposureDateArray()

Retrieve the Array of Sparse Exposure Dates

Returns:

The Array of Sparse Exposure Dates

pathCount

public int pathCount()

Retrieve the Number of Simulation Paths

Returns:

The Number of Simulation Paths

sparseExposureDateCount

public int sparseExposureDateCount()

Retrieve the Number of Sparse Exposure Dates

Returns:

The Number of Sparse Exposure Dates

pathAdjustedVariationMarginEstimator

public AdjustedVariationMarginEstimator[] pathAdjustedVariationMarginEstimator()

Generate the Path-wise Adjusted Variation Margin Estimator

Returns:

The Path-wise Adjusted Variation Margin Estimator

pathAdjustedVariationMarginEstimate

public AdjustedVariationMarginEstimate[] pathAdjustedVariationMarginEstimate()

Generate the Path-wise Adjusted Variation Margin Estimate

Returns:

The Path-wise Adjusted Variation Margin Estimate

ensembleAdjustedVariationMarginDynamics

public AdjustedVariationMarginDynamics ensembleAdjustedVariationMarginDynamics()

Generate the Ensemble Adjusted Variation Margin Dynamics

Returns:

The Ensemble Adjusted Variation Margin Dynamics

ensemblePillarDynamics

public PykhtinPillarDynamics[] ensemblePillarDynamics()

Generate the Ensemble Pillar Dynamics Array

Returns:

The Ensemble Pillar Dynamics Array

denseVariationMargin

public double[][] denseVariationMargin(LocalVolatilityGenerationControl localVolatilityGenerationControl,
double[][] wanderEnsemble)

Generate the Path-wise Dense Variation Margin Array

Parameters:

localVolatilityGenerationControl - Local Volatility Generation Control

wanderEnsemble - The Wander Ensemble

Returns:

The Path-wise Dense Variation Margin Array

denseTrajectory

public AndersenPykhtinSokolTrajectory[] denseTrajectory(LocalVolatilityGenerationControl localVolatilityGenerationControl,
double[][] wanderEnsemble)

Generate the Dense Variation Margin Trajectory

Parameters:

localVolatilityGenerationControl - Local Volatility Generation Control

wanderEnsemble - The Wander Ensemble

Returns:

The Dense Variation Margin Trajectory