Package org.drip.sample.andersen2017vm

Andersen Pykhtin Sokol Regression VM

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
EnsembleTradeFlowAdjustment	EnsembleTradeFlowAdjustment generates the Trade Flow Adjusted Variation Margin from Sparse Nodes for a Fix-Float Swap across the Ensemble of Paths.
EnsembleVariationMarginEstimate	EnsembleVariationMarginEstimate generates the Ensemble of Dense Variation Margin Estimates from Sparse Nodes for a Fix-Float Swap across the Ensemble of Paths.
FixFloatAggressiveLong	FixFloatAggressiveLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
FixFloatAggressiveShort	FixFloatAggressiveShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
FixFloatClassicalMinusLong	FixFloatClassicalMinusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
FixFloatClassicalMinusShort	FixFloatClassicalMinusShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
FixFloatClassicalPlusLong	FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
FixFloatClassicalPlusShort	FixFloatClassicalPlusShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
FixFloatConservativeLong	FixFloatConservativeLong generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
FixFloatConservativeShort	FixFloatConservativeShort generates the Ensemble of Dense Variation Margin Estimates and the eventual Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
PathTradeFlowAdjustment	PathTradeFlowAdjustment generates the Trade Flow Adjusted Variation Margin from Sparse Nodes for a Fix-Float Swap.