Package org.drip.exposure.regressiontrade

Exposure Regression under Margin and Trade Payments

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
AdjustedVariationMarginDynamics	AdjustedVariationMarginDynamics builds the Dynamics of the Sparse Path Adjusted Variation Margin.
AdjustedVariationMarginEstimate	AdjustedVariationMarginEstimate holds the Sparse Path Adjusted Variation Margin and the Daily Trade Flows.
AdjustedVariationMarginEstimator	AdjustedVariationMarginEstimator coordinates the Generation of the Path-specific Trade Payment Adjusted Variation Margin Flows.
AndersenPykhtinSokolEnsemble	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.
AndersenPykhtinSokolPath	AndersenPykhtinSokolPath holds the holds the Sparse Path Adjusted/Unadjusted Exposures along with Dense Trade Payments.
AndersenPykhtinSokolTrajectory	AndersenPykhtinSokolTrajectory holds the per-Path Variation Margin Trajectory and theTrade Flow Array.
VariationMarginEstimateVertex	VariationMarginEstimateVertex holds the Sparse Date Unadjusted and Adjusted Variation Margin Estimates.