Package org.drip.sample.mporfixfloat

Class OTCPayerConservativeTimeline

java.lang.Object
org.drip.sample.mporfixfloat.OTCPayerConservativeTimeline
public class OTCPayerConservativeTimeline
extends java.lang.Object
OTCPayerConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017). The References are:

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017a): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 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
  • 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
  • Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OTCPayerConservativeTimeline()  

  • 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

    • OTCPayerConservativeTimeline

      public OTCPayerConservativeTimeline()

  • 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