AndersenPykhtinSokolLag.java

  1. package org.drip.exposure.csatimeline;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * 
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  * 
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  * 
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  * 
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  * 
  50.  *  Documentation for DROP is Spread Over:
  51.  * 
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  * 
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *   
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  78. /**
  79.  * <i>AndersenPykhtinSokolLag</i> holds the Client/Dealer Margin Flow and Trade Flow Lags using the
  80.  * Parameterization laid out in Andersen, Pykhtin, and Sokol (2017). The References are:
  81.  *  
  82.  * <br><br>
  83.  *      <ul>
  84.  *          <li>
  85.  *              Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk
  86.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
  87.  *          </li>
  88.  *          <li>
  89.  *              Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of
  90.  *                  Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  91.  *          </li>
  92.  *          <li>
  93.  *              Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back-testing
  94.  *                  Framework for Forecasting Initial Margin Requirements
  95.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
  96.  *          </li>
  97.  *          <li>
  98.  *              BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives
  99.  *                  https://www.bis.org/bcbs/publ/d317.pdf
  100.  *          </li>
  101.  *          <li>
  102.  *              Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties <i>Journal of
  103.  *                  Credit Risk</i> <b>5 (4)</b> 3-27
  104.  *          </li>
  105.  *      </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  111.  *      <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>
  112.  *      <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>
  113.  *  </ul>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class AndersenPykhtinSokolLag
  119. {
  120.     private int _clientTradePaymentDelay = -1;
  121.     private int _dealerTradePaymentDelay = -1;
  122.     private int _clientVariationMarginPostingDelay = -1;
  123.     private int _dealerVariationMarginPostingDelay = -1;

  125.     /**
  126.      * Generate the "Conservative" Parameterization of AndersenPykhtinSokolLag
  127.      * 
  128.      * @return The "Conservative" Parameterization of AndersenPykhtinSokolLag
  129.      */

  131.     public static final AndersenPykhtinSokolLag Conservative()
  132.     {
  133.         try
  134.         {
  135.             return new AndersenPykhtinSokolLag (
  136.                 15,
  137.                 9,
  138.                 8,
  139.                 3
  140.             );
  141.         }
  142.         catch (java.lang.Exception e)
  143.         {
  144.             e.printStackTrace();
  145.         }

  147.         return null;
  148.     }

  150.     /**
  151.      * Generate the "Aggressive" Parameterization of AndersenPykhtinSokolLag
  152.      * 
  153.      * @return The "Aggressive" Parameterization of AndersenPykhtinSokolLag
  154.      */

  156.     public static final AndersenPykhtinSokolLag Aggressive()
  157.     {
  158.         try
  159.         {
  160.             return new AndersenPykhtinSokolLag (
  161.                 7,
  162.                 6,
  163.                 4,
  164.                 4
  165.             );
  166.         }
  167.         catch (java.lang.Exception e)
  168.         {
  169.             e.printStackTrace();
  170.         }

  172.         return null;
  173.     }

  175.     /**
  176.      * Generate the "Classical+" Parameterization of AndersenPykhtinSokolLag
  177.      * 
  178.      * @return The "Classical+" Parameterization of AndersenPykhtinSokolLag
  179.      */

  181.     public static final AndersenPykhtinSokolLag ClassicalPlus()
  182.     {
  183.         try
  184.         {
  185.             return new AndersenPykhtinSokolLag (
  186.                 10,
  187.                 10,
  188.                 0,
  189.                 0
  190.             );
  191.         }
  192.         catch (java.lang.Exception e)
  193.         {
  194.             e.printStackTrace();
  195.         }

  197.         return null;
  198.     }

  200.     /**
  201.      * Generate the "Classical-" Parameterization of AndersenPykhtinSokolLag
  202.      * 
  203.      * @return The "Classical-" Parameterization of AndersenPykhtinSokolLag
  204.      */

  206.     public static final AndersenPykhtinSokolLag ClassicalMinus()
  207.     {
  208.         try
  209.         {
  210.             return new AndersenPykhtinSokolLag (
  211.                 10,
  212.                 10,
  213.                 10,
  214.                 10
  215.             );
  216.         }
  217.         catch (java.lang.Exception e)
  218.         {
  219.             e.printStackTrace();
  220.         }

  222.         return null;
  223.     }

  225.     /**
  226.      * AndersenPykhtinSokolLag Constructor
  227.      * 
  228.      * @param clientVariationMarginPostingDelay Client Variation Margin Posting Delay (Business Days)
  229.      * @param dealerVariationMarginPostingDelay Dealer Variation Margin Posting Gap (Business Days)
  230.      * @param clientTradePaymentDelay Client Trade Payment Delay (Business Days)
  231.      * @param dealerTradePaymentDelay Dealer Trade Payment Delay (Business Days)
  232.      * 
  233.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  234.      */

  236.     public AndersenPykhtinSokolLag (
  237.         final int clientVariationMarginPostingDelay,
  238.         final int dealerVariationMarginPostingDelay,
  239.         final int clientTradePaymentDelay,
  240.         final int dealerTradePaymentDelay)
  241.         throws java.lang.Exception
  242.     {
  243.         if (0 > (_clientVariationMarginPostingDelay = clientVariationMarginPostingDelay) ||
  244.             0 > (_dealerVariationMarginPostingDelay = dealerVariationMarginPostingDelay) ||
  245.             0 > (_clientTradePaymentDelay = clientTradePaymentDelay) ||
  246.             0 > (_dealerTradePaymentDelay = dealerTradePaymentDelay) ||
  247.             _clientVariationMarginPostingDelay < _dealerVariationMarginPostingDelay ||
  248.             _dealerVariationMarginPostingDelay < _clientTradePaymentDelay ||
  249.             _clientTradePaymentDelay < _dealerTradePaymentDelay)
  250.         {
  251.             throw new java.lang.Exception ("AndersenPykhtinSokolLag Constuctor => Invalid Inputs");
  252.         }
  253.     }

  255.     /**
  256.      * Retrieve the Client Variation Margin Posting Delay
  257.      * 
  258.      * @return The Client Variation Margin Posting Delay
  259.      */

  261.     public int clientVariationMarginPostingDelay()
  262.     {
  263.         return _clientVariationMarginPostingDelay;
  264.     }

  266.     /**
  267.      * Retrieve the Dealer Variation Margin Posting Delay
  268.      * 
  269.      * @return The Dealer Variation Margin Posting Delay
  270.      */

  272.     public int dealerVariationMarginPostingDelay()
  273.     {
  274.         return _dealerVariationMarginPostingDelay;
  275.     }

  277.     /**
  278.      * Retrieve the Client Trade Payment Delay
  279.      * 
  280.      * @return The Client Trade Payment Delay
  281.      */

  283.     public int clientTradePaymentDelay()
  284.     {
  285.         return _clientTradePaymentDelay;
  286.     }

  288.     /**
  289.      * Retrieve the Dealer Trade Payment Delay
  290.      * 
  291.      * @return The Dealer Trade Payment Delay
  292.      */

  294.     public int dealerTradePaymentDelay()
  295.     {
  296.         return _dealerTradePaymentDelay;
  297.     }
  298. }
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