Package org.drip.sample.csaevents

Class AndersenPykhtinSokolDates

java.lang.Object
org.drip.sample.csaevents.AndersenPykhtinSokolDates
public class AndersenPykhtinSokolDates
extends java.lang.Object
AndersenPykhtinSokolDates generates the Intra-Period Dates inside a Margin. Flow Dates are generated for the Classical+, Classical-, "Aggressive", and "Conservative" Timeline Schemes. 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
  • Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
  • BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives https://www.bis.org/bcbs/publ/d317.pdf
  • Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties Journal of Credit Risk 5 (4) 3-27




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AndersenPykhtinSokolDates()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] args)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AndersenPykhtinSokolDates

      public AndersenPykhtinSokolDates()

  • Method Details

    • main

      public static final void main​(java.lang.String[] args) throws java.lang.Exception
      Entry Point
      Parameters:
      args - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation