Uses of Package
org.drip.exposure.regressiontrade
| Package | Description |
|---|---|
| org.drip.exposure.regressiontrade |
Exposure Regression under Margin and Trade Payments
|
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Classes in org.drip.exposure.regressiontrade used by org.drip.exposure.regressiontrade 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.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.