LastFlowDates.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>LastFlowDates</i> holds the Last Client/Dealer Margin Flow and Trade Flow Dates 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 LastFlowDates
  119. {
  120.     private org.drip.analytics.date.JulianDate _spot = null;
  121.     private org.drip.analytics.date.JulianDate _valuation = null;
  122.     private org.drip.analytics.date.JulianDate _clientTradePayment = null;
  123.     private org.drip.analytics.date.JulianDate _dealerTradePayment = null;
  124.     private org.drip.analytics.date.JulianDate _variationMarginPeriodEnd = null;
  125.     private org.drip.analytics.date.JulianDate _variationMarginPeriodStart = null;
  126.     private org.drip.analytics.date.JulianDate _clientVariationMarginPosting = null;
  127.     private org.drip.analytics.date.JulianDate _dealerVariationMarginPosting = null;

  129.     /**
  130.      * Generate a LastFlowDates Instance from the Spot Date and the AndersenPykhtinSokolLag
  131.      * 
  132.      * @param spot The Spot Date
  133.      * @param andersenPykhtinSokolLag AndersenPykhtinSokolLag Instance
  134.      * @param calendarSet The Business Day Calendar Set
  135.      * 
  136.      * @return The LastFlowDates Instance
  137.      */

  139.     public static final LastFlowDates SpotStandard (
  140.         final org.drip.analytics.date.JulianDate spot,
  141.         final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag andersenPykhtinSokolLag,
  142.         final java.lang.String calendarSet)
  143.     {
  144.         if (null == spot || null == andersenPykhtinSokolLag)
  145.         {
  146.             return null;
  147.         }

  149.         org.drip.analytics.date.JulianDate clientVariationMarginPostingDate = spot.subtractBusDays (
  150.             andersenPykhtinSokolLag.clientVariationMarginPostingDelay(),
  151.             calendarSet
  152.         );

  154.         org.drip.analytics.date.JulianDate dealerVariationMarginPostingDate = spot.subtractBusDays (
  155.             andersenPykhtinSokolLag.dealerVariationMarginPostingDelay(),
  156.             calendarSet
  157.         );

  159.         if (null == clientVariationMarginPostingDate || null == dealerVariationMarginPostingDate)
  160.         {
  161.             return null;
  162.         }

  164.         try
  165.         {
  166.             return new LastFlowDates (
  167.                 clientVariationMarginPostingDate.subtractBusDays (
  168.                     1,
  169.                     calendarSet
  170.                 ),
  171.                 clientVariationMarginPostingDate,
  172.                 dealerVariationMarginPostingDate,
  173.                 spot.subtractBusDays (
  174.                     andersenPykhtinSokolLag.clientTradePaymentDelay(),
  175.                     calendarSet
  176.                 ),
  177.                 spot.subtractBusDays (
  178.                     andersenPykhtinSokolLag.dealerTradePaymentDelay(),
  179.                     calendarSet
  180.                 ),
  181.                 spot,
  182.                 clientVariationMarginPostingDate.julian() < dealerVariationMarginPostingDate.julian() ?
  183.                     clientVariationMarginPostingDate : dealerVariationMarginPostingDate,
  184.                 spot
  185.             );
  186.         }
  187.         catch (java.lang.Exception e)
  188.         {
  189.             e.printStackTrace();
  190.         }

  192.         return null;
  193.     }

  195.     /**
  196.      * LastFlowDates Constructor
  197.      * 
  198.      * @param valuation The Margin Collateral Valuation Date
  199.      * @param clientVariationMarginPosting The Last Client Variation Margin Posting (Observation) Date
  200.      * @param dealerVariationMarginPosting The Last Dealer Variation Margin Posting (Observation) Date
  201.      * @param clientTradePayment The Last Client Trade Payment (Settlement) Date
  202.      * @param dealerTradePayment The Last Dealer Trade Payment (Settlement) Date
  203.      * @param spot The Spot Date
  204.      * @param variationMarginPeriodStart The Variation Margin Period Start Date
  205.      * @param variationMarginPeriodEnd The Variation Margin Period End Date
  206.      * 
  207.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  208.      */

  210.     public LastFlowDates (
  211.         final org.drip.analytics.date.JulianDate valuation,
  212.         final org.drip.analytics.date.JulianDate clientVariationMarginPosting,
  213.         final org.drip.analytics.date.JulianDate dealerVariationMarginPosting,
  214.         final org.drip.analytics.date.JulianDate clientTradePayment,
  215.         final org.drip.analytics.date.JulianDate dealerTradePayment,
  216.         final org.drip.analytics.date.JulianDate spot,
  217.         final org.drip.analytics.date.JulianDate variationMarginPeriodStart,
  218.         final org.drip.analytics.date.JulianDate variationMarginPeriodEnd)
  219.         throws java.lang.Exception
  220.     {
  221.         if (null == (_valuation = valuation) ||
  222.             null == (_clientVariationMarginPosting = clientVariationMarginPosting) ||
  223.             null == (_dealerVariationMarginPosting = dealerVariationMarginPosting) ||
  224.             null == (_clientTradePayment = clientTradePayment) ||
  225.             null == (_dealerTradePayment = dealerTradePayment) ||
  226.             null == (_spot = spot) ||
  227.             null == (_variationMarginPeriodStart = variationMarginPeriodStart) ||
  228.             null == (_variationMarginPeriodEnd = variationMarginPeriodEnd))
  229.         {
  230.             throw new java.lang.Exception ("LastFlowDates Constructor => Invalid Inputs");
  231.         }
  232.     }

  234.     /**
  235.      * Retrieve the Valuation Date
  236.      * 
  237.      * @return The Valuation Date
  238.      */

  240.     public org.drip.analytics.date.JulianDate valuation()
  241.     {
  242.         return _valuation;
  243.     }

  245.     /**
  246.      * Retrieve the Last Client Variation Margin Posting (Observation) Date
  247.      * 
  248.      * @return The Last Client Variation Margin Posting (Observation) Date
  249.      */

  251.     public org.drip.analytics.date.JulianDate clientVariationMarginPosting()
  252.     {
  253.         return _clientVariationMarginPosting;
  254.     }

  256.     /**
  257.      * Retrieve the Last Dealer Variation Margin Posting (Observation) Date
  258.      * 
  259.      * @return The Last Dealer Variation Margin Posting (Observation) Date
  260.      */

  262.     public org.drip.analytics.date.JulianDate dealerVariationMarginPosting()
  263.     {
  264.         return _dealerVariationMarginPosting;
  265.     }

  267.     /**
  268.      * Retrieve the Last Client Trade Payment (Settlement) Date
  269.      * 
  270.      * @return The Last Client Trade Payment (Settlement) Date
  271.      */

  273.     public org.drip.analytics.date.JulianDate clientTradePayment()
  274.     {
  275.         return _clientTradePayment;
  276.     }

  278.     /**
  279.      * Retrieve the Last Dealer Trade Payment (Settlement) Date
  280.      * 
  281.      * @return The Last Dealer Trade Payment (Settlement) Date
  282.      */

  284.     public org.drip.analytics.date.JulianDate dealerTradePayment()
  285.     {
  286.         return _dealerTradePayment;
  287.     }

  289.     /**
  290.      * Retrieve the Spot Date
  291.      * 
  292.      * @return The Spot Date
  293.      */

  295.     public org.drip.analytics.date.JulianDate spot()
  296.     {
  297.         return _spot;
  298.     }

  300.     /**
  301.      * Retrieve the ETD
  302.      * 
  303.      * @return The ETD
  304.      */

  306.     public org.drip.analytics.date.JulianDate etd()
  307.     {
  308.         return _spot;
  309.     }

  311.     /**
  312.      * Retrieve the Variation Margin Period Start Date
  313.      * 
  314.      * @return The Variation Margin Period Start Date
  315.      */

  317.     public org.drip.analytics.date.JulianDate variationMarginPeriodStart()
  318.     {
  319.         return _variationMarginPeriodStart;
  320.     }

  322.     /**
  323.      * Retrieve the Variation Margin Period End Date
  324.      * 
  325.      * @return The Variation Margin Period End Date
  326.      */

  328.     public org.drip.analytics.date.JulianDate variationMarginPeriodEnd()
  329.     {
  330.         return _variationMarginPeriodEnd;
  331.     }
  332. }
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