FloatStreamMPoR.java
package org.drip.exposure.generator;
/*
* -*- 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>FloatStreamMPoR</i> estimates the MPoR Variation Margin and the Trade Payments for the given Float
* Stream off of the Realized Market Path. 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>
* Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and
* the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
* <b>eSSRN</b>
* </li>
* <li>
* Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
* Pricing <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* <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/generator/README.md">Rates Stream Margin Period Exposure</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class FloatStreamMPoR extends org.drip.exposure.generator.StreamMPoR
{
/**
* FloatStreamMPoR Constructor
*
* @param stream The Fixed Coupon Stream Instance
* @param notional The Fixed Coupon Stream Notional
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public FloatStreamMPoR (
final org.drip.product.rates.Stream stream,
final double notional)
throws java.lang.Exception
{
super (
stream,
notional
);
}
@Override public double variationMarginEstimate (
final int forwardDate,
final org.drip.exposure.universe.MarketPath marketPath)
throws java.lang.Exception
{
if (null == marketPath)
{
throw new java.lang.Exception ("FloatStreamMPoR::variationMarginEstimate => Invalid Inputs");
}
double variationMarginEstimate = 0.;
org.drip.state.identifier.ForwardLabel forwardLabel = stream().forwardLabel();
double overnightReplicatorForward = marketPath.marketVertex (forwardDate).overnightReplicator();
for (org.drip.analytics.cashflow.CompositePeriod period : stream().periods())
{
int periodEndDate = period.endDate();
if (periodEndDate < forwardDate)
{
continue;
}
/* org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
(org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0); */
variationMarginEstimate += period.couponDCF() *
period.notional (periodEndDate) *
marketPath.marketVertex (period.startDate()).latentStateValue (forwardLabel) *
/* marketPath.marketVertex
(composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() * */
period.couponFactor (periodEndDate) *
overnightReplicatorForward /
marketPath.marketVertex (period.payDate()).overnightReplicator();
}
return variationMarginEstimate * notional();
}
@Override public org.drip.exposure.mpor.TradePayment tradePayment (
final int forwardDate,
final org.drip.exposure.universe.MarketPath marketPath)
{
if (null == marketPath)
{
return null;
}
org.drip.state.identifier.ForwardLabel forwardLabel = stream().forwardLabel();
for (org.drip.analytics.cashflow.CompositePeriod period : stream().periods())
{
int periodPayDate = period.payDate();
if (periodPayDate == forwardDate)
{
int periodEndDate = period.endDate();
/* org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
(org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0); */
try
{
return org.drip.exposure.mpor.TradePayment.Standard (
notional() * period.couponDCF() *
period.notional (periodEndDate) *
marketPath.marketVertex (period.startDate()).latentStateValue (forwardLabel) *
/* marketPath.marketVertex
(composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() * */
period.couponFactor (periodEndDate)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
}
return org.drip.exposure.mpor.TradePayment.Standard (0.);
}
@Override public org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray (
final int startDate,
final int endDate,
final org.drip.exposure.universe.MarketPath marketPath)
{
if (endDate < startDate ||
null == marketPath)
{
return null;
}
int denseDateCount = endDate - startDate + 1;
org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray = new
org.drip.exposure.mpor.TradePayment[denseDateCount];
org.drip.state.identifier.ForwardLabel forwardLabel = stream().forwardLabel();
for (org.drip.analytics.cashflow.CompositePeriod period : stream().periods())
{
int periodPayDate = period.payDate();
if (periodPayDate < startDate)
{
continue;
}
if (periodPayDate > endDate)
{
break;
}
int periodEndDate = period.endDate();
/* org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
(org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0); */
try
{
denseTradePaymentArray[periodPayDate - startDate] =
org.drip.exposure.mpor.TradePayment.Standard (
notional() * period.couponDCF() *
period.notional (periodEndDate) *
marketPath.marketVertex (period.startDate()).latentStateValue (forwardLabel) *
/* marketPath.marketVertex
(composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() * */
period.couponFactor (periodEndDate)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
return null;
}
}
org.drip.exposure.mpor.TradePayment zeroTradePayment = org.drip.exposure.mpor.TradePayment.Standard
(0.);
for (int denseDateIndex = 0; denseDateIndex < denseDateCount; ++denseDateIndex)
{
if (null == denseTradePaymentArray[denseDateIndex])
{
denseTradePaymentArray[denseDateIndex] = zeroTradePayment;
}
}
return denseTradePaymentArray;
}
}