AndersenPykhtinSokolLag.java
package org.drip.exposure.csatimeline;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>AndersenPykhtinSokolLag</i> holds the Client/Dealer Margin Flow and Trade Flow Lags using the
* Parameterization laid out in Andersen, Pykhtin, and Sokol (2017). The References are:
*
* <br><br>
* <ul>
* <li>
* 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 <b>eSSRN</b>
* </li>
* <li>
* 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 <b>eSSRN</b>
* </li>
* <li>
* 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 <b>eSSRN</b>
* </li>
* <li>
* BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives
* https://www.bis.org/bcbs/publ/d317.pdf
* </li>
* <li>
* Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties <i>Journal of
* Credit Risk</i> <b>5 (4)</b> 3-27
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/README.md">Exposure Group Level Collateralized/Uncollateralized Exposure</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/csatimeline/README.md">Time-line of IMA/CSA Event Dates</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class AndersenPykhtinSokolLag
{
private int _clientTradePaymentDelay = -1;
private int _dealerTradePaymentDelay = -1;
private int _clientVariationMarginPostingDelay = -1;
private int _dealerVariationMarginPostingDelay = -1;
/**
* Generate the "Conservative" Parameterization of AndersenPykhtinSokolLag
*
* @return The "Conservative" Parameterization of AndersenPykhtinSokolLag
*/
public static final AndersenPykhtinSokolLag Conservative()
{
try
{
return new AndersenPykhtinSokolLag (
15,
9,
8,
3
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Generate the "Aggressive" Parameterization of AndersenPykhtinSokolLag
*
* @return The "Aggressive" Parameterization of AndersenPykhtinSokolLag
*/
public static final AndersenPykhtinSokolLag Aggressive()
{
try
{
return new AndersenPykhtinSokolLag (
7,
6,
4,
4
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Generate the "Classical+" Parameterization of AndersenPykhtinSokolLag
*
* @return The "Classical+" Parameterization of AndersenPykhtinSokolLag
*/
public static final AndersenPykhtinSokolLag ClassicalPlus()
{
try
{
return new AndersenPykhtinSokolLag (
10,
10,
0,
0
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Generate the "Classical-" Parameterization of AndersenPykhtinSokolLag
*
* @return The "Classical-" Parameterization of AndersenPykhtinSokolLag
*/
public static final AndersenPykhtinSokolLag ClassicalMinus()
{
try
{
return new AndersenPykhtinSokolLag (
10,
10,
10,
10
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* AndersenPykhtinSokolLag Constructor
*
* @param clientVariationMarginPostingDelay Client Variation Margin Posting Delay (Business Days)
* @param dealerVariationMarginPostingDelay Dealer Variation Margin Posting Gap (Business Days)
* @param clientTradePaymentDelay Client Trade Payment Delay (Business Days)
* @param dealerTradePaymentDelay Dealer Trade Payment Delay (Business Days)
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AndersenPykhtinSokolLag (
final int clientVariationMarginPostingDelay,
final int dealerVariationMarginPostingDelay,
final int clientTradePaymentDelay,
final int dealerTradePaymentDelay)
throws java.lang.Exception
{
if (0 > (_clientVariationMarginPostingDelay = clientVariationMarginPostingDelay) ||
0 > (_dealerVariationMarginPostingDelay = dealerVariationMarginPostingDelay) ||
0 > (_clientTradePaymentDelay = clientTradePaymentDelay) ||
0 > (_dealerTradePaymentDelay = dealerTradePaymentDelay) ||
_clientVariationMarginPostingDelay < _dealerVariationMarginPostingDelay ||
_dealerVariationMarginPostingDelay < _clientTradePaymentDelay ||
_clientTradePaymentDelay < _dealerTradePaymentDelay)
{
throw new java.lang.Exception ("AndersenPykhtinSokolLag Constuctor => Invalid Inputs");
}
}
/**
* Retrieve the Client Variation Margin Posting Delay
*
* @return The Client Variation Margin Posting Delay
*/
public int clientVariationMarginPostingDelay()
{
return _clientVariationMarginPostingDelay;
}
/**
* Retrieve the Dealer Variation Margin Posting Delay
*
* @return The Dealer Variation Margin Posting Delay
*/
public int dealerVariationMarginPostingDelay()
{
return _dealerVariationMarginPostingDelay;
}
/**
* Retrieve the Client Trade Payment Delay
*
* @return The Client Trade Payment Delay
*/
public int clientTradePaymentDelay()
{
return _clientTradePaymentDelay;
}
/**
* Retrieve the Dealer Trade Payment Delay
*
* @return The Dealer Trade Payment Delay
*/
public int dealerTradePaymentDelay()
{
return _dealerTradePaymentDelay;
}
}