FixFloatMPoR.java

  1. package org.drip.exposure.generator;

  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>FixFloatMPoR</i> estimates the MPoR Variation Margin and the Trade Payments for the given Fix Float
  80.  * Component off of the Realized Market Path. 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.  *              Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and
  94.  *                  the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  95.  *                  <b>eSSRN</b>
  96.  *          </li>
  97.  *          <li>
  98.  *              Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  99.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  100.  *          </li>
  101.  *          <li>
  102.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  103.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  104.  *          </li>
  105.  *          <li>
  106.  *      </ul>
  107.  *
  108.  *  <br><br>
  109.  *  <ul>
  110.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  111.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  112.  *      <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>
  113.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/generator/README.md">Rates Stream Margin Period Exposure</a></li>
  114.  *  </ul>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class FixFloatMPoR implements org.drip.exposure.mpor.VariationMarginTradePaymentVertex
  120. {
  121.     private org.drip.exposure.generator.FixedStreamMPoR _fixedStreamMPoR = null;
  122.     private org.drip.exposure.generator.FloatStreamMPoR _floatStreamMPoR = null;

  124.     /**
  125.      * FixFloatMPoR Constructor
  126.      * 
  127.      * @param fixFloatComponent The Fix Float Component Instance
  128.      * @param notional The Fix Float Component Notional
  129.      * 
  130.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  131.      */

  133.     public FixFloatMPoR (
  134.         final org.drip.product.rates.FixFloatComponent fixFloatComponent,
  135.         final double notional)
  136.         throws java.lang.Exception
  137.     {
  138.         if (null == fixFloatComponent)
  139.         {
  140.             throw new java.lang.Exception ("FixFloatMPoR Construtor => Invalid Inputs");
  141.         }

  143.         _fixedStreamMPoR = new org.drip.exposure.generator.FixedStreamMPoR (
  144.             fixFloatComponent.referenceStream(),
  145.             notional
  146.         );

  148.         _floatStreamMPoR = new org.drip.exposure.generator.FloatStreamMPoR (
  149.             fixFloatComponent.derivedStream(),
  150.             notional
  151.         );
  152.     }

  154.     /**
  155.      * Retrieve the Fixed Stream MPoR
  156.      * 
  157.      * @return The Fixed Stream MPoR
  158.      */

  160.     public org.drip.exposure.generator.FixedStreamMPoR fixedStreamMPoR()
  161.     {
  162.         return _fixedStreamMPoR;
  163.     }

  165.     /**
  166.      * Retrieve the Float Stream MPoR
  167.      * 
  168.      * @return The Float Stream MPoR
  169.      */

  171.     public org.drip.exposure.generator.FloatStreamMPoR floatStreamMPoR()
  172.     {
  173.         return _floatStreamMPoR;
  174.     }

  176.     /**
  177.      * Retrieve the Underlying Fix Float Notional
  178.      * 
  179.      * @return The Underlying Fix Float Notional
  180.      */

  182.     public double notional()
  183.     {
  184.         return _fixedStreamMPoR.notional();
  185.     }

  187.     @Override public double variationMarginEstimate (
  188.         final int forwardDate,
  189.         final org.drip.exposure.universe.MarketPath marketPath)
  190.         throws java.lang.Exception
  191.     {
  192.         return _fixedStreamMPoR.variationMarginEstimate (
  193.             forwardDate,
  194.             marketPath
  195.         ) + _floatStreamMPoR.variationMarginEstimate (
  196.             forwardDate,
  197.             marketPath
  198.         );
  199.     }

  201.     @Override public org.drip.exposure.mpor.TradePayment tradePayment (
  202.         final int forwardDate,
  203.         final org.drip.exposure.universe.MarketPath marketPath)
  204.     {
  205.         org.drip.exposure.mpor.TradePayment fixedStreamTradePayment = _fixedStreamMPoR.tradePayment (
  206.             forwardDate,
  207.             marketPath
  208.         );

  210.         if (null == fixedStreamTradePayment)
  211.         {
  212.             return null;
  213.         }

  215.         org.drip.exposure.mpor.TradePayment floatStreamTradePayment = _floatStreamMPoR.tradePayment (
  216.             forwardDate,
  217.             marketPath
  218.         );
  219.     
  220.         if (null == floatStreamTradePayment)
  221.         {
  222.             return null;
  223.         }

  225.         try
  226.         {
  227.             return new org.drip.exposure.mpor.TradePayment (
  228.                 fixedStreamTradePayment.dealer() + floatStreamTradePayment.dealer(),
  229.                 fixedStreamTradePayment.client() + floatStreamTradePayment.client()
  230.             );
  231.         }
  232.         catch (java.lang.Exception e)
  233.         {
  234.             e.printStackTrace();
  235.         }

  237.         return null;
  238.     }

  240.     @Override public org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray (
  241.         final int startDate,
  242.         final int endDate,
  243.         final org.drip.exposure.universe.MarketPath marketPath)
  244.     {
  245.         org.drip.exposure.mpor.TradePayment[] fixedStreamTradePaymentArray =
  246.             _fixedStreamMPoR.denseTradePaymentArray (
  247.                 startDate,
  248.                 endDate,
  249.                 marketPath
  250.             );

  252.         if (null == fixedStreamTradePaymentArray)
  253.         {
  254.             return null;
  255.         }

  257.         org.drip.exposure.mpor.TradePayment[] floatStreamTradePaymentArray =
  258.             _floatStreamMPoR.denseTradePaymentArray (
  259.                 startDate,
  260.                 endDate,
  261.                 marketPath
  262.             );

  264.         if (null == floatStreamTradePaymentArray)
  265.         {
  266.             return null;
  267.         }

  269.         int denseDateCount = endDate - startDate + 1;
  270.         org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray = new
  271.             org.drip.exposure.mpor.TradePayment[denseDateCount];

  273.         for (int denseDateIndex = 0; denseDateIndex < denseDateCount; ++denseDateIndex)
  274.         {
  275.             try
  276.             {
  277.                 denseTradePaymentArray[denseDateIndex] = new org.drip.exposure.mpor.TradePayment (
  278.                     fixedStreamTradePaymentArray[denseDateIndex].dealer() +
  279.                         floatStreamTradePaymentArray[denseDateIndex].dealer(),
  280.                     fixedStreamTradePaymentArray[denseDateIndex].client() +
  281.                         floatStreamTradePaymentArray[denseDateIndex].client()
  282.                 );
  283.             }
  284.             catch (java.lang.Exception e)
  285.             {
  286.                 e.printStackTrace();

  288.                 return null;
  289.             }
  290.         }

  292.         return denseTradePaymentArray;
  293.     }
  294. }
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