PortfolioMPoR.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>PortfolioMPoR</i> estimates the MPoR Variation Margin and the Trade Payments for the Component MPoR's
  80.  * of a given Portfolio 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 PortfolioMPoR implements org.drip.exposure.mpor.VariationMarginTradePaymentVertex
  120. {
  121.     private java.util.List<org.drip.exposure.mpor.VariationMarginTradePaymentVertex> _componentMPoRList = new
  122.         java.util.ArrayList<org.drip.exposure.mpor.VariationMarginTradePaymentVertex>();

  124.     /**
  125.      * Retrieve the List of Component MPoR's
  126.      * 
  127.      * @return The List of Component MPoR's
  128.      */

  130.     public java.util.List<org.drip.exposure.mpor.VariationMarginTradePaymentVertex> componentMPoRList()
  131.     {
  132.         return _componentMPoRList;
  133.     }

  135.     @Override public double variationMarginEstimate (
  136.         final int forwardDate,
  137.         final org.drip.exposure.universe.MarketPath marketPath)
  138.         throws java.lang.Exception
  139.     {
  140.         double variationMarginEstimate = 0.;

  142.         for (org.drip.exposure.mpor.VariationMarginTradePaymentVertex componentMPoR : _componentMPoRList)
  143.         {
  144.             variationMarginEstimate += componentMPoR.variationMarginEstimate (
  145.                 forwardDate,
  146.                 marketPath
  147.             );
  148.         }

  150.         return variationMarginEstimate;
  151.     }

  153.     @Override public org.drip.exposure.mpor.TradePayment tradePayment (
  154.         final int forwardDate,
  155.         final org.drip.exposure.universe.MarketPath marketPath)
  156.     {
  157.         double clientPayment = 0.;
  158.         double dealerPayment = 0.;

  160.         for (org.drip.exposure.mpor.VariationMarginTradePaymentVertex componentMPoR : _componentMPoRList)
  161.         {
  162.             org.drip.exposure.mpor.TradePayment tradePayment = componentMPoR.tradePayment (
  163.                 forwardDate,
  164.                 marketPath
  165.             );

  167.             if (null == tradePayment)
  168.             {
  169.                 return null;
  170.             }

  172.             dealerPayment += tradePayment.dealer();

  174.             clientPayment += tradePayment.client();
  175.         }

  177.         try
  178.         {
  179.             return new org.drip.exposure.mpor.TradePayment (
  180.                 dealerPayment,
  181.                 clientPayment
  182.             );
  183.         }
  184.         catch (java.lang.Exception e)
  185.         {
  186.             e.printStackTrace();
  187.         }

  189.         return null;
  190.     }

  192.     @Override public org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray (
  193.         final int startDate,
  194.         final int endDate,
  195.         final org.drip.exposure.universe.MarketPath marketPath)
  196.     {
  197.         if (endDate < startDate)
  198.         {
  199.             return null;
  200.         }

  202.         int denseDateCount = endDate - startDate + 1;
  203.         double[] clientTradePaymentArray = new double[denseDateCount];
  204.         double[] dealerTradePaymentArray = new double[denseDateCount];
  205.         org.drip.exposure.mpor.TradePayment[] denseTradePaymentArray = new
  206.             org.drip.exposure.mpor.TradePayment[denseDateCount];

  208.         for (int denseDateIndex = 0; denseDateIndex < denseDateCount; ++denseDateIndex)
  209.         {
  210.             clientTradePaymentArray[denseDateIndex] = 0.;
  211.             dealerTradePaymentArray[denseDateIndex] = 0.;
  212.         }

  214.         for (org.drip.exposure.mpor.VariationMarginTradePaymentVertex componentMPoR : _componentMPoRList)
  215.         {
  216.             org.drip.exposure.mpor.TradePayment[] componentDenseTradePaymentArray =
  217.                 componentMPoR.denseTradePaymentArray (
  218.                     startDate,
  219.                     endDate,
  220.                     marketPath
  221.                 );

  223.             if (null == componentDenseTradePaymentArray)
  224.             {
  225.                 return null;
  226.             }

  228.             for (int denseDateIndex = 0; denseDateIndex < denseDateCount; ++denseDateIndex)
  229.             {
  230.                 clientTradePaymentArray[denseDateIndex] +=
  231.                     componentDenseTradePaymentArray[denseDateIndex].client();

  233.                 dealerTradePaymentArray[denseDateIndex] +=
  234.                     componentDenseTradePaymentArray[denseDateIndex].dealer();
  235.             }
  236.         }

  238.         for (int denseDateIndex = 0; denseDateIndex < denseDateCount; ++denseDateIndex)
  239.         {
  240.             try
  241.             {
  242.                 denseTradePaymentArray[denseDateIndex] = new org.drip.exposure.mpor.TradePayment (
  243.                     dealerTradePaymentArray[denseDateIndex],
  244.                     clientTradePaymentArray[denseDateIndex]
  245.                 );
  246.             }
  247.             catch (java.lang.Exception e)
  248.             {
  249.                 e.printStackTrace();

  251.                 return null;
  252.             }
  253.         }

  255.         return denseTradePaymentArray;
  256.     }
  257. }
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