Package org.drip.exposure.regressiontrade

Class VariationMarginEstimateVertex

java.lang.Object
org.drip.exposure.regressiontrade.VariationMarginEstimateVertex
public class VariationMarginEstimateVertex
extends java.lang.Object
VariationMarginEstimateVertex holds the Sparse Date Unadjusted and Adjusted Variation Margin Estimates. 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
    VariationMarginEstimateVertex​(double unadjusted, double adjusted)
    VariationMarginEstimateVertex Constructor

  • Method Summary

    Modifier and Type Method Description
    double adjusted()
    Retrieve the Adjusted Variation Margin at the Vertex
    double unadjusted()
    Retrieve the Unadjusted Variation Margin at the Vertex

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • VariationMarginEstimateVertex

      public VariationMarginEstimateVertex​(double unadjusted, double adjusted) throws java.lang.Exception
      VariationMarginEstimateVertex Constructor
      Parameters:
      unadjusted - The Unadjusted Variation Margin at the Vertex
      adjusted - The Adjusted Variation Margin at the Vertex
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • unadjusted

      public double unadjusted()
      Retrieve the Unadjusted Variation Margin at the Vertex
      Returns:
      The Unadjusted Variation Margin at the Vertex

    • adjusted

      public double adjusted()
      Retrieve the Adjusted Variation Margin at the Vertex
      Returns:
      The Adjusted Variation Margin at the Vertex