EventDateBuilder.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>EventDateBuilder</i> builds the CSA BCBS/IOSCO Dates prescribed Events Time-line occurring Margin
  80.  * Period. 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 EventDateBuilder
  119. {

  121.     /**
  122.      * 1992 ISDA IMA Cure Period of 3 Business Days
  123.      */

  125.     public static final int CURE_PERIOD_IMA_1992 = 3;

  127.     /**
  128.      * 2002 ISDA IMA Cure Period of 1 Business Day
  129.      */

  131.     public static final int CURE_PERIOD_IMA_2002 = 1;

  133.     /**
  134.      * Daily Margining Frequency
  135.      */

  137.     public static final int MARGIN_FREQUENCY_DAILY = 1;

  139.     /**
  140.      * PED Call Out Delay - Aggressive
  141.      */

  143.     public static final int PED_CALL_OUT_DELAY_AGGRESSIVE = 1;

  145.     /**
  146.      * PED Call Out Delay - Conservative
  147.      */

  149.     public static final int PED_CALL_OUT_DELAY_CONSERVATIVE = 3;

  151.     /**
  152.      * PED Communication Delay - Aggressive
  153.      */

  155.     public static final int PED_COMMUNICATION_DELAY_AGGRESSIVE = 1;

  157.     /**
  158.      * PED Communication Delay - Conservative
  159.      */

  161.     public static final int PED_COMMUNICATION_DELAY_CONSERVATIVE = 2;

  163.     /**
  164.      * ED Communication Delay - Aggressive
  165.      */

  167.     public static final int ED_COMMUNICATION_DELAY_AGGRESSIVE = 1;

  169.     /**
  170.      * ED Communication Delay - Conservative
  171.      */

  173.     public static final int ED_COMMUNICATION_DELAY_CONSERVATIVE = 2;

  175.     /**
  176.      * ETD Designation Delay - Aggressive
  177.      */

  179.     public static final int ETD_DESIGNATION_DELAY_AGGRESSIVE = 1;

  181.     /**
  182.      * ETD Designation Delay - Conservative
  183.      */

  185.     public static final int ETD_DESIGNATION_DELAY_CONSERVATIVE = 3;

  187.     /**
  188.      * ETD Call-out Delay - Aggressive
  189.      */

  191.     public static final int ETD_CALL_OUT_DELAY_AGGRESSIVE = 1;

  193.     /**
  194.      * ETD Call-out Delay - Conservative
  195.      */

  197.     public static final int ETD_CALL_OUT_DELAY_CONSERVATIVE = 12;

  199.     /**
  200.      * Construct the CSA Valuation Event Date
  201.      * 
  202.      * @param date The Valuation Date
  203.      * 
  204.      * @return The CSA Valuation Event Date
  205.      */

  207.     public static final EventDate Valuation (
  208.         final org.drip.analytics.date.JulianDate date)
  209.     {
  210.         try
  211.         {
  212.             return new EventDate (
  213.                 date,
  214.                 "Valuation Date",
  215.                 "T0"
  216.             );
  217.         }
  218.         catch (java.lang.Exception e)
  219.         {
  220.             e.printStackTrace();
  221.         }

  223.         return null;
  224.     }

  226.     /**
  227.      * Construct the Undisputed and Respected CSA Event Date
  228.      * 
  229.      * @param date The CSA Honored Date
  230.      * 
  231.      * @return The Undisputed and Respected CSA Event Date
  232.      */

  234.     public static final org.drip.exposure.csatimeline.EventDate Honored (
  235.         final org.drip.analytics.date.JulianDate date)
  236.     {
  237.         try
  238.         {
  239.             return new org.drip.exposure.csatimeline.EventDate (
  240.                 date,
  241.                 "Honored Date",
  242.                 "T1"
  243.             );
  244.         }
  245.         catch (java.lang.Exception e)
  246.         {
  247.             e.printStackTrace();
  248.         }

  250.         return null;
  251.     }

  253.     /**
  254.      * Construct the Undisputed and Respected CSA Event Date from the CSA Valuation Date
  255.      * 
  256.      * @param valuation The CSA Valuation Event Date
  257.      * @param calendarSet The Calendar Set
  258.      * 
  259.      * @return The Undisputed and Respected CSA Event Date from the CSA Valuation Date
  260.      */

  262.     public static final org.drip.exposure.csatimeline.EventDate Honored (
  263.         final org.drip.exposure.csatimeline.EventDate valuation,
  264.         final java.lang.String calendarSet)
  265.     {
  266.         return null == valuation ? null : Honored (
  267.             valuation.date().addBusDays (
  268.                 1,
  269.                 calendarSet
  270.             )
  271.         );
  272.     }

  274.     /**
  275.      * Construct the Collateral Transfer Initiation CSA Event Date
  276.      * 
  277.      * @param date The Collateral Transfer Initiation Date
  278.      * 
  279.      * @return The Collateral Transfer Initiation CSA Event Date
  280.      */

  282.     public static final EventDate CollateralTransferInitiation (
  283.         final org.drip.analytics.date.JulianDate date)
  284.     {
  285.         try
  286.         {
  287.             return new EventDate (
  288.                 date,
  289.                 "Collateral Transfer Initiation Date",
  290.                 "T2"
  291.             );
  292.         }
  293.         catch (java.lang.Exception e)
  294.         {
  295.             e.printStackTrace();
  296.         }

  298.         return null;
  299.     }

  301.     /**
  302.      * Construct the Regular Collateral Transfer Initiation CSA Event Date
  303.      * 
  304.      * @param honored The CSA Last Honored Event Date
  305.      * @param calendarSet The Calendar Set
  306.      * 
  307.      * @return The Regular Collateral Transfer Initiation CSA Event Date
  308.      */

  310.     public static final EventDate RegularCollateralTransferInitiation (
  311.         final org.drip.exposure.csatimeline.EventDate honored,
  312.         final java.lang.String calendarSet)
  313.     {
  314.         return null == honored ? null : CollateralTransferInitiation (
  315.             honored.date().addBusDays (
  316.                 1,
  317.                 calendarSet
  318.             )
  319.         );
  320.     }

  322.     /**
  323.      * Construct the Delayed Collateral Transfer Initiation CSA Event Date
  324.      * 
  325.      * @param honored The CSA Last Honored Event Date
  326.      * @param calendarSet The Calendar Set
  327.      * 
  328.      * @return The Delayed Collateral Transfer Initiation CSA Event Date
  329.      */

  331.     public static final EventDate DelayedCollateralTransferInitiation (
  332.         final org.drip.exposure.csatimeline.EventDate honored,
  333.         final java.lang.String calendarSet)
  334.     {
  335.         return null == honored ? null : CollateralTransferInitiation (
  336.             honored.date().addBusDays (
  337.                 2,
  338.                 calendarSet
  339.             )
  340.         );
  341.     }

  343.     /**
  344.      * Construct the Non-Honored CSA Event Date
  345.      * 
  346.      * @param date The CSA Non-Honored Date
  347.      * 
  348.      * @return The Non-Honored CSA Event Date
  349.      */

  351.     public static final EventDate NonHonored (
  352.         final org.drip.analytics.date.JulianDate date)
  353.     {
  354.         try
  355.         {
  356.             return new EventDate (
  357.                 date,
  358.                 "Non-Honored Date",
  359.                 "T3"
  360.             );
  361.         }
  362.         catch (java.lang.Exception e)
  363.         {
  364.             e.printStackTrace();
  365.         }

  367.         return null;
  368.     }

  370.     /**
  371.      * Construct the Non-Honored CSA Event Date
  372.      * 
  373.      * @param valuation The CSA Valuation Event Date
  374.      * @param calendarSet The Calendar Set
  375.      * 
  376.      * @return The Non-Honored CSA Event Date
  377.      */

  379.     public static final org.drip.exposure.csatimeline.EventDate NonHonored (
  380.         final org.drip.exposure.csatimeline.EventDate valuation,
  381.         final java.lang.String calendarSet)
  382.     {
  383.         return null == valuation ? null : NonHonored (
  384.             valuation.date().addBusDays (
  385.                 1,
  386.                 calendarSet
  387.             )
  388.         );
  389.     }

  391.     /**
  392.      * Construct the Potential Event of Default CSA Event Date
  393.      * 
  394.      * @param date The Potential Event of Default Date
  395.      * 
  396.      * @return The Potential Event of Default CSA Event Date
  397.      */

  399.     public static final EventDate PotentialEventOfDefault (
  400.         final org.drip.analytics.date.JulianDate date)
  401.     {
  402.         try
  403.         {
  404.             return new EventDate (
  405.                 date,
  406.                 "Potential Event of Default Date",
  407.                 "Tau"
  408.             );
  409.         }
  410.         catch (java.lang.Exception e)
  411.         {
  412.             e.printStackTrace();
  413.         }

  415.         return null;
  416.     }

  418.     /**
  419.      * Construct the Potential Event of Default CSA Event Date
  420.      * 
  421.      * @param date The Potential Event of Default Date
  422.      * 
  423.      * @return The Potential Event of Default CSA Event Date
  424.      */

  426.     public static final EventDate PED (
  427.         final org.drip.analytics.date.JulianDate date)
  428.     {
  429.         try
  430.         {
  431.             return new EventDate (
  432.                 date,
  433.                 "Potential Event of Default Date",
  434.                 "Tau"
  435.             );
  436.         }
  437.         catch (java.lang.Exception e)
  438.         {
  439.             e.printStackTrace();
  440.         }

  442.         return null;
  443.     }

  445.     /**
  446.      * Construct the PED Communication CSA Event Date
  447.      * 
  448.      * @param date The PED Communication Date
  449.      * 
  450.      * @return The PED Communication CSA Event Date
  451.      */

  453.     public static final EventDate PEDCommunication (
  454.         final org.drip.analytics.date.JulianDate date)
  455.     {
  456.         try
  457.         {
  458.             return new EventDate (
  459.                 date,
  460.                 "PED Communication Date",
  461.                 "T4"
  462.             );
  463.         }
  464.         catch (java.lang.Exception e)
  465.         {
  466.             e.printStackTrace();
  467.         }

  469.         return null;
  470.     }

  472.     /**
  473.      * Construct the Event of Default CSA Event Date
  474.      * 
  475.      * @param date The Event of Default Date
  476.      * 
  477.      * @return The Event of Default CSA Event Date
  478.      */

  480.     public static final EventDate EventOfDefault (
  481.         final org.drip.analytics.date.JulianDate date)
  482.     {
  483.         try
  484.         {
  485.             return new EventDate (
  486.                 date,
  487.                 "Event of Default Date",
  488.                 "T5"
  489.             );
  490.         }
  491.         catch (java.lang.Exception e)
  492.         {
  493.             e.printStackTrace();
  494.         }

  496.         return null;
  497.     }

  499.     /**
  500.      * Construct the Event of Default CSA Event Date
  501.      * 
  502.      * @param date The Event of Default Date
  503.      * 
  504.      * @return The Event of Default CSA Event Date
  505.      */

  507.     public static final EventDate ED (
  508.         final org.drip.analytics.date.JulianDate date)
  509.     {
  510.         try
  511.         {
  512.             return new EventDate (
  513.                 date,
  514.                 "Event of Default Date",
  515.                 "T5"
  516.             );
  517.         }
  518.         catch (java.lang.Exception e)
  519.         {
  520.             e.printStackTrace();
  521.         }

  523.         return null;
  524.     }

  526.     /**
  527.      * Construct the Cure Period Adjusted ED
  528.      * 
  529.      * @param ped The PED CSA Event Date
  530.      * @param calendarSet The Calendar Set
  531.      * @param curePeriod The Cure Period
  532.      * 
  533.      * @return The Cure Period Adjusted ED
  534.      */

  536.     public static final EventDate EventOfDefault (
  537.         final org.drip.exposure.csatimeline.EventDate ped,
  538.         final java.lang.String calendarSet,
  539.         final int curePeriod)
  540.     {
  541.         return null == ped ? null : EventOfDefault (
  542.             ped.date().addBusDays (
  543.                 curePeriod,
  544.                 calendarSet
  545.             )
  546.         );
  547.     }

  549.     /**
  550.      * Construct the IMA 1992 Cure Period Adjusted ED
  551.      * 
  552.      * @param ped The PED CSA Event Date
  553.      * @param calendarSet The Calendar Set
  554.      * 
  555.      * @return The IMA 1992 Cure Period Adjusted ED
  556.      */

  558.     public static final EventDate IMA1992ED (
  559.         final org.drip.exposure.csatimeline.EventDate ped,
  560.         final java.lang.String calendarSet)
  561.     {
  562.         return null == ped ? null : EventOfDefault (
  563.             ped.date().addBusDays (
  564.                 CURE_PERIOD_IMA_1992,
  565.                 calendarSet
  566.             )
  567.         );
  568.     }

  570.     /**
  571.      * Construct the IMA 2002 Cure Period Adjusted ED
  572.      * 
  573.      * @param ped The PED CSA Event Date
  574.      * @param calendarSet The Calendar Set
  575.      * 
  576.      * @return The IMA 2002 Cure Period Adjusted ED
  577.      */

  579.     public static final EventDate IMA2002ED (
  580.         final org.drip.exposure.csatimeline.EventDate ped,
  581.         final java.lang.String calendarSet)
  582.     {
  583.         return null == ped ? null : EventOfDefault (
  584.             ped.date().addBusDays (
  585.                 CURE_PERIOD_IMA_2002,
  586.                 calendarSet
  587.             )
  588.         );
  589.     }

  591.     /**
  592.      * Construct the ED Communication CSA Event Date
  593.      * 
  594.      * @param date The ED Communication Date
  595.      * 
  596.      * @return The ED Communication CSA Event Date
  597.      */

  599.     public static final EventDate EDCommunication (
  600.         final org.drip.analytics.date.JulianDate date)
  601.     {
  602.         try
  603.         {
  604.             return new EventDate (
  605.                 date,
  606.                 "ED Communication Date",
  607.                 "T6"
  608.             );
  609.         }
  610.         catch (java.lang.Exception e)
  611.         {
  612.             e.printStackTrace();
  613.         }

  615.         return null;
  616.     }

  618.     /**
  619.      * Construct the ETD Designation CSA Event Date
  620.      * 
  621.      * @param date The ETD Designation Date
  622.      * 
  623.      * @return The ETD Designation CSA Event Date
  624.      */

  626.     public static final EventDate ETDDesignation (
  627.         final org.drip.analytics.date.JulianDate date)
  628.     {
  629.         try
  630.         {
  631.             return new EventDate (
  632.                 date,
  633.                 "ETD Designation Date",
  634.                 "T7"
  635.             );
  636.         }
  637.         catch (java.lang.Exception e)
  638.         {
  639.             e.printStackTrace();
  640.         }

  642.         return null;
  643.     }

  645.     /**
  646.      * Construct the Early Termination Date (ETD) CSA Event Date
  647.      * 
  648.      * @param date The Early Termination Date (ETD)
  649.      * 
  650.      * @return The Early Termination Date (ETD) CSA Event Date
  651.      */

  653.     public static final EventDate ETD (
  654.         final org.drip.analytics.date.JulianDate date)
  655.     {
  656.         try
  657.         {
  658.             return new EventDate (
  659.                 date,
  660.                 "Early Termination Date",
  661.                 "T8"
  662.             );
  663.         }
  664.         catch (java.lang.Exception e)
  665.         {
  666.             e.printStackTrace();
  667.         }

  669.         return null;
  670.     }

  672.     /**
  673.      * Construct the Early Termination Date (ETD) CSA Event Date
  674.      * 
  675.      * @param date The Early Termination Date (ETD)
  676.      * 
  677.      * @return The Early Termination Date (ETD) CSA Event Date
  678.      */

  680.     public static final EventDate EarlyTerminationDate (
  681.         final org.drip.analytics.date.JulianDate date)
  682.     {
  683.         try
  684.         {
  685.             return new EventDate (
  686.                 date,
  687.                 "Early Termination Date",
  688.                 "T8"
  689.             );
  690.         }
  691.         catch (java.lang.Exception e)
  692.         {
  693.             e.printStackTrace();
  694.         }

  696.         return null;
  697.     }
  698. }
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