Package org.drip.sample.mporstream

CSA Enforced Stream Path MPoR
  • Class Summary
    Class Description
    LongFixedAggressiveTimeline
    LongFixedAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    LongFixedClassicalMinusTimeline
    LongFixedClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    LongFixedClassicalPlusTimeline
    LongFixedClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    LongFixedConservativeTimeline
    LongFixedConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    LongFloatAggressiveTimeline
    LongFloatAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    LongFloatClassicalMinusTimeline
    LongFloatClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    LongFloatClassicalPlusTimeline
    LongFloatClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    LongFloatConservativeTimeline
    LongFloatConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    ShortFixedAggressiveTimeline
    ShortFixedAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    ShortFixedClassicalMinusTimeline
    ShortFixedClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    ShortFixedClassicalPlusTimeline
    ShortFixedClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    ShortFixedConservativeTimeline
    ShortFixedConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol (2017).
    ShortFloatAggressiveTimeline
    ShortFloatAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    ShortFloatClassicalMinusTimeline
    ShortFloatClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    ShortFloatClassicalPlusTimeline
    ShortFloatClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    ShortFloatConservativeTimeline
    ShortFloatConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).