CollateralAmountEstimator.java
package org.drip.exposure.mpor;
/*
* -*- 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
* Copyright (C) 2017 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>CollateralAmountEstimator</i> estimates the Amount of Collateral Hypothecation that is to be Posted
* during a Single Run of a Collateral Hypothecation Group Valuation. The References are:
*
* <br><br>
* <ul>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
* party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance, Risk, 24 (11) 72-75
* </li>
* <li>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </li>
* <li>
* Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading
* Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market
* <i>World Scientific Publishing </i> <b>Singapore</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/mpor/README.md">Margin Period Collateral Amount Estimation</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CollateralAmountEstimator
{
private double _currentBalance = java.lang.Double.NaN;
private org.drip.measure.bridge.BrokenDateInterpolator _brokenDateInterpolator = null;
private org.drip.xva.proto.PositionGroupSpecification _positionGroupSpecification = null;
/**
* CollateralAmountEstimator Constructor
*
* @param positionGroupSpecification The Position Group Specification
* @param brokenDateInterpolator The Stochastic Value Broken Date Bridge Estimator
* @param currentBalance The Current Collateral Balance
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public CollateralAmountEstimator (
final org.drip.xva.proto.PositionGroupSpecification positionGroupSpecification,
final org.drip.measure.bridge.BrokenDateInterpolator brokenDateInterpolator,
final double currentBalance)
throws java.lang.Exception
{
if (null == (_positionGroupSpecification = positionGroupSpecification) ||
null == (_brokenDateInterpolator = brokenDateInterpolator))
{
throw new java.lang.Exception ("CollateralAmountEstimator Constructor => Invalid Inputs");
}
_currentBalance = currentBalance;
}
/**
* Retrieve the Position Group Specification
*
* @return The Position Group Specification
*/
public org.drip.xva.proto.PositionGroupSpecification positionGroupSpecification()
{
return _positionGroupSpecification;
}
/**
* Retrieve the Stochastic Value Broken Date Bridge Estimator
*
* @return The Stochastic Value Broken Date Bridge Estimator
*/
public org.drip.measure.bridge.BrokenDateInterpolator brokenDateBridge()
{
return _brokenDateInterpolator;
}
/**
* Retrieve the Current Collateral Balance
*
* @return The Current Collateral Balance
*/
public double currentCollateralBalance()
{
return _currentBalance;
}
/**
* Calculate the Margin Value at the Dealer Default Window
*
* @param valuationDateJulian The Valuation Date
*
* @return The Margin Value at the Dealer Default Window
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double dealerWindowMarginValue (
final org.drip.analytics.date.JulianDate valuationDateJulian)
throws java.lang.Exception
{
if (null == valuationDateJulian)
{
throw new java.lang.Exception
("CollateralAmountEstimator::dealerWindowMarginValue => Invalid Inputs");
}
org.drip.analytics.date.JulianDate marginDate = valuationDateJulian.subtractDays
(_positionGroupSpecification.dealerDefaultWindow());
if (null == marginDate)
{
throw new java.lang.Exception
("CollateralAmountEstimator::dealerWindowMarginValue => Invalid Inputs");
}
return _brokenDateInterpolator.interpolate (marginDate.julian());
}
/**
* Calculate the Dealer Margin Threshold
*
* @param valuationDateJulian The Valuation Date
*
* @return The Dealer Margin Threshold
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double dealerThreshold (
final org.drip.analytics.date.JulianDate valuationDateJulian)
throws java.lang.Exception
{
org.drip.function.definition.R1ToR1 dealerThresholdFunction =
_positionGroupSpecification.dealerThresholdFunction();
return null == dealerThresholdFunction ? 0. : dealerThresholdFunction.evaluate
(valuationDateJulian.julian());
}
/**
* Calculate the Margin Amount Required to be Posted by the Dealer
*
* @param valuationDateJulian The Valuation Date
*
* @return The Margin Amount Required to be Posted by the Dealer
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double dealerPostingRequirement (
final org.drip.analytics.date.JulianDate valuationDateJulian)
throws java.lang.Exception
{
double dealerPostingRequirement = dealerWindowMarginValue (valuationDateJulian) - dealerThreshold
(valuationDateJulian);
return 0. < dealerPostingRequirement ? 0. : dealerPostingRequirement;
}
/**
* Calculate the Margin Value at the Client Default Window
*
* @param valuationDateJulian The Valuation Date
*
* @return The Margin Value at the Client Default Window
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double clientWindowMarginValue (
final org.drip.analytics.date.JulianDate valuationDateJulian)
throws java.lang.Exception
{
if (null == valuationDateJulian)
{
throw new java.lang.Exception
("CollateralAmountEstimator::clientWindowMarginValue => Invalid Inputs");
}
org.drip.analytics.date.JulianDate marginDate = valuationDateJulian.subtractDays
(_positionGroupSpecification.clientDefaultWindow());
if (null == marginDate)
{
throw new java.lang.Exception
("CollateralAmountEstimator::clientWindowMarginValue => Invalid Inputs");
}
return _brokenDateInterpolator.interpolate (marginDate.julian());
}
/**
* Calculate the Client Margin Threshold
*
* @param valuationDateJulian The Valuation Date
*
* @return The Client Margin Threshold
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double clientThreshold (
final org.drip.analytics.date.JulianDate valuationDateJulian)
throws java.lang.Exception
{
org.drip.function.definition.R1ToR1[] clientThresholdFunctionArray =
_positionGroupSpecification.clientThresholdFunctionArray();
return null == clientThresholdFunctionArray || null == clientThresholdFunctionArray[0] ? 0. :
clientThresholdFunctionArray[0].evaluate (valuationDateJulian.julian());
}
/**
* Calculate the Margin Amount Required to be Posted by the Client
*
* @param valuationDateJulian The Valuation Date
*
* @return The Margin Amount Required to be Posted by the Client
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double clientPostingRequirement (
final org.drip.analytics.date.JulianDate valuationDateJulian)
throws java.lang.Exception
{
double clientPostingRequirement = clientWindowMarginValue (valuationDateJulian) - clientThreshold
(valuationDateJulian);
return 0. > clientPostingRequirement ? 0. : clientPostingRequirement;
}
/**
* Calculate the Gross Margin Amount Required to be Posted
*
* @param valuationDateJulian The Valuation Date
*
* @return The Gross Margin Amount Required to be Posted
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double postingRequirement (
final org.drip.analytics.date.JulianDate valuationDateJulian)
throws java.lang.Exception
{
return org.drip.numerical.common.NumberUtil.IsValid (_currentBalance) ? _currentBalance :
dealerPostingRequirement (valuationDateJulian) + clientPostingRequirement (valuationDateJulian);
}
/**
* Generate the MarginAmountEstimatorOutput Instance
*
* @param valuationDateJulian The Valuation Date
*
* @return The MarginAmountEstimatorOutput Instance
*/
public org.drip.exposure.mpor.CollateralAmountEstimatorOutput output (
final org.drip.analytics.date.JulianDate valuationDateJulian)
{
if (null == valuationDateJulian)
{
return null;
}
org.drip.analytics.date.JulianDate dealerMarginDate = valuationDateJulian.subtractDays
(_positionGroupSpecification.dealerDefaultWindow());
org.drip.analytics.date.JulianDate clientMarginDate = valuationDateJulian.subtractDays
(_positionGroupSpecification.clientDefaultWindow());
if (null == dealerMarginDate ||
null == clientMarginDate)
{
return null;
}
org.drip.function.definition.R1ToR1[] clientThresholdFunctionArray =
_positionGroupSpecification.clientThresholdFunctionArray();
org.drip.function.definition.R1ToR1 dealerThresholdFunction =
_positionGroupSpecification.dealerThresholdFunction();
double valuationDate = valuationDateJulian.julian();
try
{
double dealerWindowMarginValue = _brokenDateInterpolator.interpolate (dealerMarginDate.julian());
double clientWindowMarginValue = _brokenDateInterpolator.interpolate (clientMarginDate.julian());
double dealerThresholdValue = null == dealerThresholdFunction ? 0. :
dealerThresholdFunction.evaluate (valuationDate);
double clientThresholdValue = null == clientThresholdFunctionArray || null ==
clientThresholdFunctionArray[0] ? 0. : clientThresholdFunctionArray[0].evaluate
(valuationDate);
double dealerPostingRequirement = dealerWindowMarginValue - dealerThresholdValue;
dealerPostingRequirement = 0. < dealerPostingRequirement ? 0. : dealerPostingRequirement;
double clientPostingRequirement = clientWindowMarginValue - clientThresholdValue;
clientPostingRequirement = 0. > clientPostingRequirement ? 0. : clientPostingRequirement;
return new org.drip.exposure.mpor.CollateralAmountEstimatorOutput (
dealerMarginDate,
clientMarginDate,
dealerWindowMarginValue,
dealerThresholdValue,
dealerPostingRequirement,
clientWindowMarginValue,
clientThresholdValue,
clientPostingRequirement,
org.drip.numerical.common.NumberUtil.IsValid (_currentBalance) ? _currentBalance :
dealerPostingRequirement + clientPostingRequirement);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}