LastFlowDates.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>LastFlowDates</i> holds the Last Client/Dealer Margin Flow and Trade Flow Dates using the
* Parameterization laid out in Andersen, Pykhtin, and Sokol (2017). 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 LastFlowDates
{
private org.drip.analytics.date.JulianDate _spot = null;
private org.drip.analytics.date.JulianDate _valuation = null;
private org.drip.analytics.date.JulianDate _clientTradePayment = null;
private org.drip.analytics.date.JulianDate _dealerTradePayment = null;
private org.drip.analytics.date.JulianDate _variationMarginPeriodEnd = null;
private org.drip.analytics.date.JulianDate _variationMarginPeriodStart = null;
private org.drip.analytics.date.JulianDate _clientVariationMarginPosting = null;
private org.drip.analytics.date.JulianDate _dealerVariationMarginPosting = null;
/**
* Generate a LastFlowDates Instance from the Spot Date and the AndersenPykhtinSokolLag
*
* @param spot The Spot Date
* @param andersenPykhtinSokolLag AndersenPykhtinSokolLag Instance
* @param calendarSet The Business Day Calendar Set
*
* @return The LastFlowDates Instance
*/
public static final LastFlowDates SpotStandard (
final org.drip.analytics.date.JulianDate spot,
final org.drip.exposure.csatimeline.AndersenPykhtinSokolLag andersenPykhtinSokolLag,
final java.lang.String calendarSet)
{
if (null == spot || null == andersenPykhtinSokolLag)
{
return null;
}
org.drip.analytics.date.JulianDate clientVariationMarginPostingDate = spot.subtractBusDays (
andersenPykhtinSokolLag.clientVariationMarginPostingDelay(),
calendarSet
);
org.drip.analytics.date.JulianDate dealerVariationMarginPostingDate = spot.subtractBusDays (
andersenPykhtinSokolLag.dealerVariationMarginPostingDelay(),
calendarSet
);
if (null == clientVariationMarginPostingDate || null == dealerVariationMarginPostingDate)
{
return null;
}
try
{
return new LastFlowDates (
clientVariationMarginPostingDate.subtractBusDays (
1,
calendarSet
),
clientVariationMarginPostingDate,
dealerVariationMarginPostingDate,
spot.subtractBusDays (
andersenPykhtinSokolLag.clientTradePaymentDelay(),
calendarSet
),
spot.subtractBusDays (
andersenPykhtinSokolLag.dealerTradePaymentDelay(),
calendarSet
),
spot,
clientVariationMarginPostingDate.julian() < dealerVariationMarginPostingDate.julian() ?
clientVariationMarginPostingDate : dealerVariationMarginPostingDate,
spot
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* LastFlowDates Constructor
*
* @param valuation The Margin Collateral Valuation Date
* @param clientVariationMarginPosting The Last Client Variation Margin Posting (Observation) Date
* @param dealerVariationMarginPosting The Last Dealer Variation Margin Posting (Observation) Date
* @param clientTradePayment The Last Client Trade Payment (Settlement) Date
* @param dealerTradePayment The Last Dealer Trade Payment (Settlement) Date
* @param spot The Spot Date
* @param variationMarginPeriodStart The Variation Margin Period Start Date
* @param variationMarginPeriodEnd The Variation Margin Period End Date
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public LastFlowDates (
final org.drip.analytics.date.JulianDate valuation,
final org.drip.analytics.date.JulianDate clientVariationMarginPosting,
final org.drip.analytics.date.JulianDate dealerVariationMarginPosting,
final org.drip.analytics.date.JulianDate clientTradePayment,
final org.drip.analytics.date.JulianDate dealerTradePayment,
final org.drip.analytics.date.JulianDate spot,
final org.drip.analytics.date.JulianDate variationMarginPeriodStart,
final org.drip.analytics.date.JulianDate variationMarginPeriodEnd)
throws java.lang.Exception
{
if (null == (_valuation = valuation) ||
null == (_clientVariationMarginPosting = clientVariationMarginPosting) ||
null == (_dealerVariationMarginPosting = dealerVariationMarginPosting) ||
null == (_clientTradePayment = clientTradePayment) ||
null == (_dealerTradePayment = dealerTradePayment) ||
null == (_spot = spot) ||
null == (_variationMarginPeriodStart = variationMarginPeriodStart) ||
null == (_variationMarginPeriodEnd = variationMarginPeriodEnd))
{
throw new java.lang.Exception ("LastFlowDates Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Valuation Date
*
* @return The Valuation Date
*/
public org.drip.analytics.date.JulianDate valuation()
{
return _valuation;
}
/**
* Retrieve the Last Client Variation Margin Posting (Observation) Date
*
* @return The Last Client Variation Margin Posting (Observation) Date
*/
public org.drip.analytics.date.JulianDate clientVariationMarginPosting()
{
return _clientVariationMarginPosting;
}
/**
* Retrieve the Last Dealer Variation Margin Posting (Observation) Date
*
* @return The Last Dealer Variation Margin Posting (Observation) Date
*/
public org.drip.analytics.date.JulianDate dealerVariationMarginPosting()
{
return _dealerVariationMarginPosting;
}
/**
* Retrieve the Last Client Trade Payment (Settlement) Date
*
* @return The Last Client Trade Payment (Settlement) Date
*/
public org.drip.analytics.date.JulianDate clientTradePayment()
{
return _clientTradePayment;
}
/**
* Retrieve the Last Dealer Trade Payment (Settlement) Date
*
* @return The Last Dealer Trade Payment (Settlement) Date
*/
public org.drip.analytics.date.JulianDate dealerTradePayment()
{
return _dealerTradePayment;
}
/**
* Retrieve the Spot Date
*
* @return The Spot Date
*/
public org.drip.analytics.date.JulianDate spot()
{
return _spot;
}
/**
* Retrieve the ETD
*
* @return The ETD
*/
public org.drip.analytics.date.JulianDate etd()
{
return _spot;
}
/**
* Retrieve the Variation Margin Period Start Date
*
* @return The Variation Margin Period Start Date
*/
public org.drip.analytics.date.JulianDate variationMarginPeriodStart()
{
return _variationMarginPeriodStart;
}
/**
* Retrieve the Variation Margin Period End Date
*
* @return The Variation Margin Period End Date
*/
public org.drip.analytics.date.JulianDate variationMarginPeriodEnd()
{
return _variationMarginPeriodEnd;
}
}