Package org.drip.exposure.regressiontrade

Class AndersenPykhtinSokolPath

java.lang.Object
org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
public class AndersenPykhtinSokolPath
extends java.lang.Object
AndersenPykhtinSokolPath holds the holds the Sparse Path Adjusted/Unadjusted Exposures along with Dense Trade Payments. Adjustments are applied in accordance with the Andersen, Pykhtin, and Sokol (2017a) Regression Scheme. 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 Summary

    Constructors
    Constructor Description
    AndersenPykhtinSokolPath​(TradePayment[] denseTradePaymentArray)
    AndersenPykhtinSokolPath Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addVariationMarginEstimateVertex​(int vertexDate, double unadjustedVariationMarginEstimate, double adjustedVariationMarginEstimate)
    Add the Variation Margin Estimate corresponding to the Vertex
    TradePayment[] denseTradePaymentArray()
    Retrieve the Path-wise Dense Trade Payment Array
    java.util.Map<java.lang.Integer,​VariationMarginEstimateVertex> variationMarginEstimateTrajectory()
    Retrieve the Path-wise Variation Margin Estimate Trajectory

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AndersenPykhtinSokolPath

      public AndersenPykhtinSokolPath​(TradePayment[] denseTradePaymentArray) throws java.lang.Exception
      AndersenPykhtinSokolPath Constructor
      Parameters:
      denseTradePaymentArray - The Dense Trade Payment Array
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • addVariationMarginEstimateVertex

      public boolean addVariationMarginEstimateVertex​(int vertexDate, double unadjustedVariationMarginEstimate, double adjustedVariationMarginEstimate)
      Add the Variation Margin Estimate corresponding to the Vertex
      Parameters:
      vertexDate - The Vertex Date
      unadjustedVariationMarginEstimate - The Unadjusted Variation Margin Estimate
      adjustedVariationMarginEstimate - The Adjusted Variation Margin Estimate
      Returns:
      TRUE - The Variation Margin Estimate successfully added to the Vertex

    • variationMarginEstimateTrajectory

      public java.util.Map<java.lang.Integer,​VariationMarginEstimateVertex> variationMarginEstimateTrajectory()
      Retrieve the Path-wise Variation Margin Estimate Trajectory
      Returns:
      The Path-wise Variation Margin Estimate Trajectory

    • denseTradePaymentArray

      public TradePayment[] denseTradePaymentArray()
      Retrieve the Path-wise Dense Trade Payment Array
      Returns:
      The Path-wise Dense Trade Payment Array