EventDateBuilder.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>EventDateBuilder</i> builds the CSA BCBS/IOSCO Dates prescribed Events Time-line occurring Margin
* Period. 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 EventDateBuilder
{
/**
* 1992 ISDA IMA Cure Period of 3 Business Days
*/
public static final int CURE_PERIOD_IMA_1992 = 3;
/**
* 2002 ISDA IMA Cure Period of 1 Business Day
*/
public static final int CURE_PERIOD_IMA_2002 = 1;
/**
* Daily Margining Frequency
*/
public static final int MARGIN_FREQUENCY_DAILY = 1;
/**
* PED Call Out Delay - Aggressive
*/
public static final int PED_CALL_OUT_DELAY_AGGRESSIVE = 1;
/**
* PED Call Out Delay - Conservative
*/
public static final int PED_CALL_OUT_DELAY_CONSERVATIVE = 3;
/**
* PED Communication Delay - Aggressive
*/
public static final int PED_COMMUNICATION_DELAY_AGGRESSIVE = 1;
/**
* PED Communication Delay - Conservative
*/
public static final int PED_COMMUNICATION_DELAY_CONSERVATIVE = 2;
/**
* ED Communication Delay - Aggressive
*/
public static final int ED_COMMUNICATION_DELAY_AGGRESSIVE = 1;
/**
* ED Communication Delay - Conservative
*/
public static final int ED_COMMUNICATION_DELAY_CONSERVATIVE = 2;
/**
* ETD Designation Delay - Aggressive
*/
public static final int ETD_DESIGNATION_DELAY_AGGRESSIVE = 1;
/**
* ETD Designation Delay - Conservative
*/
public static final int ETD_DESIGNATION_DELAY_CONSERVATIVE = 3;
/**
* ETD Call-out Delay - Aggressive
*/
public static final int ETD_CALL_OUT_DELAY_AGGRESSIVE = 1;
/**
* ETD Call-out Delay - Conservative
*/
public static final int ETD_CALL_OUT_DELAY_CONSERVATIVE = 12;
/**
* Construct the CSA Valuation Event Date
*
* @param date The Valuation Date
*
* @return The CSA Valuation Event Date
*/
public static final EventDate Valuation (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Valuation Date",
"T0"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Undisputed and Respected CSA Event Date
*
* @param date The CSA Honored Date
*
* @return The Undisputed and Respected CSA Event Date
*/
public static final org.drip.exposure.csatimeline.EventDate Honored (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new org.drip.exposure.csatimeline.EventDate (
date,
"Honored Date",
"T1"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Undisputed and Respected CSA Event Date from the CSA Valuation Date
*
* @param valuation The CSA Valuation Event Date
* @param calendarSet The Calendar Set
*
* @return The Undisputed and Respected CSA Event Date from the CSA Valuation Date
*/
public static final org.drip.exposure.csatimeline.EventDate Honored (
final org.drip.exposure.csatimeline.EventDate valuation,
final java.lang.String calendarSet)
{
return null == valuation ? null : Honored (
valuation.date().addBusDays (
1,
calendarSet
)
);
}
/**
* Construct the Collateral Transfer Initiation CSA Event Date
*
* @param date The Collateral Transfer Initiation Date
*
* @return The Collateral Transfer Initiation CSA Event Date
*/
public static final EventDate CollateralTransferInitiation (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Collateral Transfer Initiation Date",
"T2"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Regular Collateral Transfer Initiation CSA Event Date
*
* @param honored The CSA Last Honored Event Date
* @param calendarSet The Calendar Set
*
* @return The Regular Collateral Transfer Initiation CSA Event Date
*/
public static final EventDate RegularCollateralTransferInitiation (
final org.drip.exposure.csatimeline.EventDate honored,
final java.lang.String calendarSet)
{
return null == honored ? null : CollateralTransferInitiation (
honored.date().addBusDays (
1,
calendarSet
)
);
}
/**
* Construct the Delayed Collateral Transfer Initiation CSA Event Date
*
* @param honored The CSA Last Honored Event Date
* @param calendarSet The Calendar Set
*
* @return The Delayed Collateral Transfer Initiation CSA Event Date
*/
public static final EventDate DelayedCollateralTransferInitiation (
final org.drip.exposure.csatimeline.EventDate honored,
final java.lang.String calendarSet)
{
return null == honored ? null : CollateralTransferInitiation (
honored.date().addBusDays (
2,
calendarSet
)
);
}
/**
* Construct the Non-Honored CSA Event Date
*
* @param date The CSA Non-Honored Date
*
* @return The Non-Honored CSA Event Date
*/
public static final EventDate NonHonored (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Non-Honored Date",
"T3"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Non-Honored CSA Event Date
*
* @param valuation The CSA Valuation Event Date
* @param calendarSet The Calendar Set
*
* @return The Non-Honored CSA Event Date
*/
public static final org.drip.exposure.csatimeline.EventDate NonHonored (
final org.drip.exposure.csatimeline.EventDate valuation,
final java.lang.String calendarSet)
{
return null == valuation ? null : NonHonored (
valuation.date().addBusDays (
1,
calendarSet
)
);
}
/**
* Construct the Potential Event of Default CSA Event Date
*
* @param date The Potential Event of Default Date
*
* @return The Potential Event of Default CSA Event Date
*/
public static final EventDate PotentialEventOfDefault (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Potential Event of Default Date",
"Tau"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Potential Event of Default CSA Event Date
*
* @param date The Potential Event of Default Date
*
* @return The Potential Event of Default CSA Event Date
*/
public static final EventDate PED (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Potential Event of Default Date",
"Tau"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the PED Communication CSA Event Date
*
* @param date The PED Communication Date
*
* @return The PED Communication CSA Event Date
*/
public static final EventDate PEDCommunication (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"PED Communication Date",
"T4"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Event of Default CSA Event Date
*
* @param date The Event of Default Date
*
* @return The Event of Default CSA Event Date
*/
public static final EventDate EventOfDefault (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Event of Default Date",
"T5"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Event of Default CSA Event Date
*
* @param date The Event of Default Date
*
* @return The Event of Default CSA Event Date
*/
public static final EventDate ED (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Event of Default Date",
"T5"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Cure Period Adjusted ED
*
* @param ped The PED CSA Event Date
* @param calendarSet The Calendar Set
* @param curePeriod The Cure Period
*
* @return The Cure Period Adjusted ED
*/
public static final EventDate EventOfDefault (
final org.drip.exposure.csatimeline.EventDate ped,
final java.lang.String calendarSet,
final int curePeriod)
{
return null == ped ? null : EventOfDefault (
ped.date().addBusDays (
curePeriod,
calendarSet
)
);
}
/**
* Construct the IMA 1992 Cure Period Adjusted ED
*
* @param ped The PED CSA Event Date
* @param calendarSet The Calendar Set
*
* @return The IMA 1992 Cure Period Adjusted ED
*/
public static final EventDate IMA1992ED (
final org.drip.exposure.csatimeline.EventDate ped,
final java.lang.String calendarSet)
{
return null == ped ? null : EventOfDefault (
ped.date().addBusDays (
CURE_PERIOD_IMA_1992,
calendarSet
)
);
}
/**
* Construct the IMA 2002 Cure Period Adjusted ED
*
* @param ped The PED CSA Event Date
* @param calendarSet The Calendar Set
*
* @return The IMA 2002 Cure Period Adjusted ED
*/
public static final EventDate IMA2002ED (
final org.drip.exposure.csatimeline.EventDate ped,
final java.lang.String calendarSet)
{
return null == ped ? null : EventOfDefault (
ped.date().addBusDays (
CURE_PERIOD_IMA_2002,
calendarSet
)
);
}
/**
* Construct the ED Communication CSA Event Date
*
* @param date The ED Communication Date
*
* @return The ED Communication CSA Event Date
*/
public static final EventDate EDCommunication (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"ED Communication Date",
"T6"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the ETD Designation CSA Event Date
*
* @param date The ETD Designation Date
*
* @return The ETD Designation CSA Event Date
*/
public static final EventDate ETDDesignation (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"ETD Designation Date",
"T7"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Early Termination Date (ETD) CSA Event Date
*
* @param date The Early Termination Date (ETD)
*
* @return The Early Termination Date (ETD) CSA Event Date
*/
public static final EventDate ETD (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Early Termination Date",
"T8"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Construct the Early Termination Date (ETD) CSA Event Date
*
* @param date The Early Termination Date (ETD)
*
* @return The Early Termination Date (ETD) CSA Event Date
*/
public static final EventDate EarlyTerminationDate (
final org.drip.analytics.date.JulianDate date)
{
try
{
return new EventDate (
date,
"Early Termination Date",
"T8"
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}