EventSequence.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>EventSequence</i> holds the BCBS/IOSCO prescribed Events Time-line occurring Margin Period. The
  80.  * 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 EventSequence
  119. {
  120.     private int _curePeriod = -1;
  121.     private int _marginFrequency = -1;
  122.     private java.lang.String _calendarSet = "";
  123.     private org.drip.exposure.csatimeline.EventDate _ed = null;
  124.     private org.drip.exposure.csatimeline.EventDate _etd = null;
  125.     private org.drip.exposure.csatimeline.EventDate _ped = null;
  126.     private org.drip.exposure.csatimeline.EventDate _honored = null;
  127.     private org.drip.exposure.csatimeline.EventDate _valuation = null;
  128.     private org.drip.exposure.csatimeline.EventDate _nonHonored = null;
  129.     private org.drip.exposure.csatimeline.EventDate _etdDesignation = null;
  130.     private org.drip.exposure.csatimeline.EventDate _edCommunication = null;
  131.     private org.drip.exposure.csatimeline.EventDate _pedCommunication = null;
  132.     private org.drip.exposure.csatimeline.EventDate _collateralTransferInitiation = null;

  134.     /**
  135.      * Construct an Instance of Aggressive EventSequence
  136.      * 
  137.      * @param valuationDate The Valuation Date
  138.      * @param calendarSet The Calendar Set
  139.      * 
  140.      * @return Instance of Aggressive EventSequence
  141.      */

  143.     public static final EventSequence Aggressive (
  144.         final org.drip.analytics.date.JulianDate valuationDate,
  145.         final java.lang.String calendarSet)
  146.     {
  147.         if (null == valuationDate)
  148.         {
  149.             return null;
  150.         }

  152.         org.drip.exposure.csatimeline.EventDate valuation =
  153.             org.drip.exposure.csatimeline.EventDateBuilder.Valuation (valuationDate);

  155.         if (null == valuation)
  156.         {
  157.             return null;
  158.         }

  160.         org.drip.exposure.csatimeline.EventDate honored =
  161.             org.drip.exposure.csatimeline.EventDateBuilder.Honored (
  162.                 valuation,
  163.                 calendarSet
  164.             );

  166.         if (null == honored)
  167.         {
  168.             return null;
  169.         }

  171.         org.drip.exposure.csatimeline.EventDate nonHonored =
  172.             org.drip.exposure.csatimeline.EventDateBuilder.NonHonored (
  173.                 org.drip.exposure.csatimeline.EventDateBuilder.Valuation (
  174.                     valuation.date().addBusDays (
  175.                         org.drip.exposure.csatimeline.EventDateBuilder.MARGIN_FREQUENCY_DAILY,
  176.                         calendarSet
  177.                     )
  178.                 ),
  179.                 calendarSet
  180.             );

  182.         if (null == nonHonored)
  183.         {
  184.             return null;
  185.         }

  187.         org.drip.exposure.csatimeline.EventDate ped = org.drip.exposure.csatimeline.EventDateBuilder.PED (
  188.             nonHonored.date().addBusDays (
  189.                 org.drip.exposure.csatimeline.EventDateBuilder.PED_CALL_OUT_DELAY_AGGRESSIVE,
  190.                 calendarSet
  191.             )
  192.         );

  194.         if (null == ped)
  195.         {
  196.             return null;
  197.         }

  199.         org.drip.exposure.csatimeline.EventDate ed =
  200.             org.drip.exposure.csatimeline.EventDateBuilder.IMA2002ED (
  201.                 ped,
  202.                 calendarSet
  203.             );

  205.         if (null == ed)
  206.         {
  207.             return null;
  208.         }

  210.         org.drip.exposure.csatimeline.EventDate etdDesignation =
  211.             org.drip.exposure.csatimeline.EventDateBuilder.ETDDesignation (
  212.                 ped.date().addBusDays (
  213.                     org.drip.exposure.csatimeline.EventDateBuilder.ETD_DESIGNATION_DELAY_AGGRESSIVE,
  214.                     calendarSet
  215.                 )
  216.             );

  218.         if (null == etdDesignation)
  219.         {
  220.             return null;
  221.         }

  223.         try
  224.         {
  225.             return new EventSequence (
  226.                 valuation,
  227.                 honored,
  228.                 org.drip.exposure.csatimeline.EventDateBuilder.RegularCollateralTransferInitiation (
  229.                     honored,
  230.                     calendarSet
  231.                 ),
  232.                 nonHonored,
  233.                 ped,
  234.                 org.drip.exposure.csatimeline.EventDateBuilder.PEDCommunication (
  235.                     ped.date().addBusDays (
  236.                         org.drip.exposure.csatimeline.EventDateBuilder.PED_COMMUNICATION_DELAY_AGGRESSIVE,
  237.                         calendarSet
  238.                     )
  239.                 ),
  240.                 ed,
  241.                 org.drip.exposure.csatimeline.EventDateBuilder.EDCommunication (
  242.                     ed.date().addBusDays (
  243.                         org.drip.exposure.csatimeline.EventDateBuilder.ED_COMMUNICATION_DELAY_AGGRESSIVE,
  244.                         calendarSet
  245.                     )
  246.                 ),
  247.                 etdDesignation,
  248.                 org.drip.exposure.csatimeline.EventDateBuilder.ETD (
  249.                     etdDesignation.date().addBusDays (
  250.                         org.drip.exposure.csatimeline.EventDateBuilder.ETD_CALL_OUT_DELAY_AGGRESSIVE,
  251.                         calendarSet
  252.                     )
  253.                 ),
  254.                 org.drip.exposure.csatimeline.EventDateBuilder.MARGIN_FREQUENCY_DAILY,
  255.                 org.drip.exposure.csatimeline.EventDateBuilder.CURE_PERIOD_IMA_2002,
  256.                 calendarSet
  257.             );
  258.         }
  259.         catch (java.lang.Exception e)
  260.         {
  261.             e.printStackTrace();
  262.         }

  264.         return null;
  265.     }

  267.     /**
  268.      * Construct an Instance of Conservative EventSequence
  269.      * 
  270.      * @param valuationDate The Valuation Date
  271.      * @param calendarSet The Calendar Set
  272.      * 
  273.      * @return Instance of Conservative EventSequence
  274.      */

  276.     public static final EventSequence Conservative (
  277.         final org.drip.analytics.date.JulianDate valuationDate,
  278.         final java.lang.String calendarSet)
  279.     {
  280.         if (null == valuationDate)
  281.         {
  282.             return null;
  283.         }

  285.         org.drip.exposure.csatimeline.EventDate valuation =
  286.             org.drip.exposure.csatimeline.EventDateBuilder.Valuation (valuationDate);

  288.         if (null == valuation)
  289.         {
  290.             return null;
  291.         }

  293.         org.drip.exposure.csatimeline.EventDate honored =
  294.             org.drip.exposure.csatimeline.EventDateBuilder.Honored (
  295.                 valuation,
  296.                 calendarSet
  297.             );

  299.         if (null == honored)
  300.         {
  301.             return null;
  302.         }

  304.         org.drip.exposure.csatimeline.EventDate nonHonored =
  305.             org.drip.exposure.csatimeline.EventDateBuilder.NonHonored (
  306.                 org.drip.exposure.csatimeline.EventDateBuilder.Valuation (
  307.                     valuation.date().addBusDays (
  308.                         org.drip.exposure.csatimeline.EventDateBuilder.MARGIN_FREQUENCY_DAILY,
  309.                         calendarSet
  310.                     )
  311.                 ),
  312.                 calendarSet
  313.             );

  315.         if (null == nonHonored)
  316.         {
  317.             return null;
  318.         }

  320.         org.drip.exposure.csatimeline.EventDate ped = org.drip.exposure.csatimeline.EventDateBuilder.PED (
  321.             nonHonored.date().addBusDays (
  322.                 org.drip.exposure.csatimeline.EventDateBuilder.PED_CALL_OUT_DELAY_CONSERVATIVE,
  323.                 calendarSet
  324.             )
  325.         );

  327.         if (null == ped)
  328.         {
  329.             return null;
  330.         }

  332.         org.drip.exposure.csatimeline.EventDate ed =
  333.             org.drip.exposure.csatimeline.EventDateBuilder.IMA2002ED (
  334.                 ped,
  335.                 calendarSet
  336.             );

  338.         if (null == ed)
  339.         {
  340.             return null;
  341.         }

  343.         org.drip.exposure.csatimeline.EventDate etdDesignation =
  344.             org.drip.exposure.csatimeline.EventDateBuilder.ETDDesignation (
  345.                 ped.date().addBusDays (
  346.                     org.drip.exposure.csatimeline.EventDateBuilder.ETD_DESIGNATION_DELAY_CONSERVATIVE,
  347.                     calendarSet
  348.                 )
  349.             );

  351.         if (null == etdDesignation)
  352.         {
  353.             return null;
  354.         }

  356.         try
  357.         {
  358.             return new EventSequence (
  359.                 valuation,
  360.                 honored,
  361.                 org.drip.exposure.csatimeline.EventDateBuilder.RegularCollateralTransferInitiation (
  362.                     honored,
  363.                     calendarSet
  364.                 ),
  365.                 nonHonored,
  366.                 ped,
  367.                 org.drip.exposure.csatimeline.EventDateBuilder.PEDCommunication (
  368.                     ped.date().addBusDays (
  369.                         org.drip.exposure.csatimeline.EventDateBuilder.PED_COMMUNICATION_DELAY_CONSERVATIVE,
  370.                         calendarSet
  371.                     )
  372.                 ),
  373.                 ed,
  374.                 org.drip.exposure.csatimeline.EventDateBuilder.EDCommunication (
  375.                     ed.date().addBusDays (
  376.                         org.drip.exposure.csatimeline.EventDateBuilder.ED_COMMUNICATION_DELAY_CONSERVATIVE,
  377.                         calendarSet
  378.                     )
  379.                 ),
  380.                 etdDesignation,
  381.                 org.drip.exposure.csatimeline.EventDateBuilder.ETD (
  382.                     etdDesignation.date().addBusDays (
  383.                         org.drip.exposure.csatimeline.EventDateBuilder.ETD_CALL_OUT_DELAY_CONSERVATIVE,
  384.                         calendarSet
  385.                     )
  386.                 ),
  387.                 org.drip.exposure.csatimeline.EventDateBuilder.MARGIN_FREQUENCY_DAILY,
  388.                 org.drip.exposure.csatimeline.EventDateBuilder.CURE_PERIOD_IMA_2002,
  389.                 calendarSet
  390.             );
  391.         }
  392.         catch (java.lang.Exception e)
  393.         {
  394.             e.printStackTrace();
  395.         }

  397.         return null;
  398.     }

  400.     /**
  401.      * @param valuation The CSA Valuation Event Date
  402.      * @param honored The CSA Honored Event Date
  403.      * @param collateralTransferInitiation The CSA Collateral Transfer Initiation Event Date
  404.      * @param nonHonored The CSA Non-Honored Event Date
  405.      * @param ped The Potential Event of Default
  406.      * @param pedCommunication The Potential Event of Default Communication Date
  407.      * @param ed The Event of Default
  408.      * @param edCommunication The Event of Default Communication Date
  409.      * @param etdDesignation The Early Termination Designation Date
  410.      * @param etd The Early Termination Date
  411.      * @param marginFrequency The CSA Margin Frequency
  412.      * @param curePeriod The Client "Failure To Pay" Cure Period
  413.      * @param calendarSet The CSA Calendar Set
  414.      * 
  415.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  416.      */

  418.     public EventSequence (
  419.         final org.drip.exposure.csatimeline.EventDate valuation,
  420.         final org.drip.exposure.csatimeline.EventDate honored,
  421.         final org.drip.exposure.csatimeline.EventDate collateralTransferInitiation,
  422.         final org.drip.exposure.csatimeline.EventDate nonHonored,
  423.         final org.drip.exposure.csatimeline.EventDate ped,
  424.         final org.drip.exposure.csatimeline.EventDate pedCommunication,
  425.         final org.drip.exposure.csatimeline.EventDate ed,
  426.         final org.drip.exposure.csatimeline.EventDate edCommunication,
  427.         final org.drip.exposure.csatimeline.EventDate etdDesignation,
  428.         final org.drip.exposure.csatimeline.EventDate etd,
  429.         final int marginFrequency,
  430.         final int curePeriod,
  431.         final java.lang.String calendarSet)
  432.         throws java.lang.Exception
  433.     {
  434.         if (null == (_valuation = valuation) ||
  435.             null == (_honored = honored) ||
  436.             null == (_collateralTransferInitiation = collateralTransferInitiation) ||
  437.             null == (_nonHonored = nonHonored) ||
  438.             null == (_ped = ped) ||
  439.             null == (_pedCommunication = pedCommunication) ||
  440.             null == (_ed = ed) ||
  441.             null == (_edCommunication = edCommunication) ||
  442.             null == (_etdDesignation = etdDesignation) ||
  443.             null == (_etd = etd) ||
  444.             0 >= (_marginFrequency = marginFrequency) ||
  445.             0 >= (_curePeriod = curePeriod))
  446.         {
  447.             throw new java.lang.Exception ("EventSequence Constructor => Invalid Inputs");
  448.         }

  450.         _calendarSet = calendarSet;
  451.     }

  453.     /**
  454.      * Retrieve the CSA Calendar Set
  455.      * 
  456.      * @return The CSA Calendar Set
  457.      */

  459.     public java.lang.String calendarSet()
  460.     {
  461.         return _calendarSet;
  462.     }

  464.     /**
  465.      * Retrieve the CSA Margin Frequency
  466.      * 
  467.      * @return The CSA Margin Frequency
  468.      */

  470.     public int marginFrequency()
  471.     {
  472.         return _marginFrequency;
  473.     }

  475.     /**
  476.      * Retrieve the Client Cure Period
  477.      * 
  478.      * @return The Client Cure Period
  479.      */

  481.     public int curePeriod()
  482.     {
  483.         return _curePeriod;
  484.     }

  486.     /**
  487.      * Retrieve the Valuation Event Date
  488.      * 
  489.      * @return The Valuation Event Date
  490.      */

  492.     public org.drip.exposure.csatimeline.EventDate valuation()
  493.     {
  494.         return _valuation;
  495.     }

  497.     /**
  498.      * Retrieve the Honored Event Date
  499.      * 
  500.      * @return The Honored Event Date
  501.      */

  503.     public org.drip.exposure.csatimeline.EventDate honored()
  504.     {
  505.         return _honored;
  506.     }

  508.     /**
  509.      * Retrieve the Collateral Transfer Initiation Event Date
  510.      * 
  511.      * @return The Collateral Transfer Initiation Event Date
  512.      */

  514.     public org.drip.exposure.csatimeline.EventDate collateralTransferInitiation()
  515.     {
  516.         return _collateralTransferInitiation;
  517.     }

  519.     /**
  520.      * Retrieve the Non Honored Event Date
  521.      * 
  522.      * @return The Non Honored Event Date
  523.      */

  525.     public org.drip.exposure.csatimeline.EventDate nonHonored()
  526.     {
  527.         return _nonHonored;
  528.     }

  530.     /**
  531.      * Retrieve the PED Event Date
  532.      * 
  533.      * @return The PED Event Date
  534.      */

  536.     public org.drip.exposure.csatimeline.EventDate ped()
  537.     {
  538.         return _ped;
  539.     }

  541.     /**
  542.      * Retrieve the PED Communication Event Date
  543.      * 
  544.      * @return The PED Communication Event Date
  545.      */

  547.     public org.drip.exposure.csatimeline.EventDate pedCommunication()
  548.     {
  549.         return _pedCommunication;
  550.     }

  552.     /**
  553.      * Retrieve the ED Event Date
  554.      * 
  555.      * @return The ED Event Date
  556.      */

  558.     public org.drip.exposure.csatimeline.EventDate ed()
  559.     {
  560.         return _ed;
  561.     }

  563.     /**
  564.      * Retrieve the ED Communication Event Date
  565.      * 
  566.      * @return The ED Communication Event Date
  567.      */

  569.     public org.drip.exposure.csatimeline.EventDate edCommunication()
  570.     {
  571.         return _edCommunication;
  572.     }

  574.     /**
  575.      * Retrieve the ETD Designation Event Date
  576.      * 
  577.      * @return The ETD Designation Event Date
  578.      */

  580.     public org.drip.exposure.csatimeline.EventDate etdDesignation()
  581.     {
  582.         return _etdDesignation;
  583.     }

  585.     /**
  586.      * Retrieve the ETD Event Date
  587.      * 
  588.      * @return The ETD Event Date
  589.      */

  591.     public org.drip.exposure.csatimeline.EventDate etd()
  592.     {
  593.         return _etd;
  594.     }

  596.     /**
  597.      * Retrieve the Margin Period Start Date
  598.      * 
  599.      * @return The Margin Period Start Date
  600.      */

  602.     public org.drip.analytics.date.JulianDate marginPeriodStart()
  603.     {
  604.         return _honored.date();
  605.     }

  607.     /**
  608.      * Retrieve the Margin Period End Date
  609.      * 
  610.      * @return The Margin Period End Date
  611.      */

  613.     public org.drip.analytics.date.JulianDate marginPeriodEnd()
  614.     {
  615.         return _etd.date();
  616.     }

  618.     /**
  619.      * Retrieve the Margin Duration
  620.      * 
  621.      * @return The Margin Duration
  622.      */

  624.     public int marginDuration()
  625.     {
  626.         return _etd.date().julian() - _honored.date().julian();
  627.     }
  628. }
Created with JaCoCo 0.7.9.201702052155