FixedStreamMPoR.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>FixedStreamMPoR</i> estimates the MPoR Variation Margin and the Trade Payments for the given Fixed
  80.  * Coupon Stream 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 FixedStreamMPoR extends org.drip.exposure.generator.StreamMPoR
  120. {

  122.     /**
  123.      * FixedStreamMPoR Constructor
  124.      * 
  125.      * @param stream The Fixed Coupon Stream Instance
  126.      * @param notional The Fixed Coupon Stream Notional
  127.      * 
  128.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  129.      */

  131.     public FixedStreamMPoR (
  132.         final org.drip.product.rates.Stream stream,
  133.         final double notional)
  134.         throws java.lang.Exception
  135.     {
  136.         super (
  137.             stream,
  138.             notional
  139.         );
  140.     }

  142.     @Override public double variationMarginEstimate (
  143.         final int forwardDate,
  144.         final org.drip.exposure.universe.MarketPath marketPath)
  145.         throws java.lang.Exception
  146.     {
  147.         if (null == marketPath)
  148.         {
  149.             throw new java.lang.Exception ("FixedStreamMPoR::variationMarginEstimate => Invalid Inputs");
  150.         }

  152.         double variationMarginEstimate = 0.;

  154.         double overnightReplicatorForward = marketPath.marketVertex (forwardDate).overnightReplicator();

  156.         for (org.drip.analytics.cashflow.CompositePeriod period : stream().periods())
  157.         {
  158.             int periodEndDate = period.endDate();

  160.             if (periodEndDate < forwardDate)
  161.             {
  162.                 continue;
  163.             }

  165.             org.drip.analytics.output.CompositePeriodCouponMetrics compositePeriodCouponMetrics =
  166.                 period.couponMetrics (
  167.                     forwardDate,
  168.                     null
  169.                 );

  171.             if (null == compositePeriodCouponMetrics)
  172.             {
  173.                 throw new java.lang.Exception
  174.                     ("FixedStreamMPoR::variationMarginEstimate => Cannot Compute CompositePeriodCouponMetrics");
  175.             }

  177.             variationMarginEstimate += period.couponDCF() *
  178.                 period.notional (periodEndDate) *
  179.                 compositePeriodCouponMetrics.rate() *
  180.                 period.couponFactor (periodEndDate) *
  181.                 overnightReplicatorForward /
  182.                 marketPath.marketVertex (period.payDate()).overnightReplicator();
  183.         }

  185.         return variationMarginEstimate * notional();
  186.     }

  188.     @Override public org.drip.exposure.mpor.TradePayment tradePayment (
  189.         final int forwardDate,
  190.         final org.drip.exposure.universe.MarketPath marketPath)
  191.     {
  192.         if (null == marketPath)
  193.         {
  194.             return null;
  195.         }

  197.         for (org.drip.analytics.cashflow.CompositePeriod period : stream().periods())
  198.         {
  199.             int periodPayDate = period.payDate();

  201.             if (periodPayDate == forwardDate)
  202.             {
  203.                 int periodEndDate = period.endDate();

  205.                 org.drip.analytics.output.CompositePeriodCouponMetrics compositePeriodCouponMetrics =
  206.                     period.couponMetrics (
  207.                         periodEndDate,
  208.                         null
  209.                     );

  211.                 if (null == compositePeriodCouponMetrics)
  212.                 {
  213.                     return null;
  214.                 }

  216.                 try
  217.                 {
  218.                     return org.drip.exposure.mpor.TradePayment.Standard (
  219.                         notional() * period.couponDCF() *
  220.                         period.notional (periodEndDate) *
  221.                         compositePeriodCouponMetrics.rate() *
  222.                         period.couponFactor (periodEndDate)
  223.                     );
  224.                 }
  225.                 catch (java.lang.Exception e)
  226.                 {
  227.                     e.printStackTrace();

  229.                     return null;
  230.                 }
  231.             }
  232.         }

  234.         return org.drip.exposure.mpor.TradePayment.Standard (0.);
  235.     }

  237.     @Override public org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray (
  238.         final int startDate,
  239.         final int endDate,
  240.         final org.drip.exposure.universe.MarketPath marketPath)
  241.     {
  242.         if (endDate < startDate ||
  243.             null == marketPath)
  244.         {
  245.             return null;
  246.         }

  248.         int denseDateCount = endDate - startDate + 1;
  249.         org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray = new
  250.             org.drip.exposure.mpor.TradePayment[denseDateCount];

  252.         for (org.drip.analytics.cashflow.CompositePeriod period : stream().periods())
  253.         {
  254.             int periodPayDate = period.payDate();

  256.             if (periodPayDate < startDate)
  257.             {
  258.                 continue;
  259.             }

  261.             if (periodPayDate > endDate)
  262.             {
  263.                 break;
  264.             }

  266.             int periodEndDate = period.endDate();

  268.             org.drip.analytics.output.CompositePeriodCouponMetrics compositePeriodCouponMetrics =
  269.                 period.couponMetrics (
  270.                     periodEndDate,
  271.                     null
  272.                 );

  274.             if (null == compositePeriodCouponMetrics)
  275.             {
  276.                 return null;
  277.             }

  279.             try
  280.             {
  281.                 denseTradePaymentArray[periodPayDate - startDate] =
  282.                     org.drip.exposure.mpor.TradePayment.Standard (
  283.                         notional() * period.couponDCF() *
  284.                         period.notional (periodEndDate) *
  285.                         compositePeriodCouponMetrics.rate() *
  286.                         period.couponFactor (periodEndDate)
  287.                     );
  288.             }
  289.             catch (java.lang.Exception e)
  290.             {
  291.                 e.printStackTrace();

  293.                 return null;
  294.             }
  295.         }

  297.         org.drip.exposure.mpor.TradePayment zeroTradePayment = org.drip.exposure.mpor.TradePayment.Standard
  298.             (0.);

  300.         for (int denseDateIndex = 0; denseDateIndex < denseDateCount; ++denseDateIndex)
  301.         {
  302.             if (null == denseTradePaymentArray[denseDateIndex])
  303.             {
  304.                 denseTradePaymentArray[denseDateIndex] = zeroTradePayment;
  305.             }
  306.         }

  308.         return denseTradePaymentArray;
  309.     }
  310. }
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