CollateralAmountEstimatorOutput.java

  1. package org.drip.exposure.mpor;

  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.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>CollateralAmountEstimatorOutput</i> contains the Estimation Output of the Hypothecation Collateral that
  81.  * is to be Posted during a Single Run of a Collateral Hypothecation Group Valuation. The References are:
  82.  *  
  83.  * <br><br>
  84.  *      <ul>
  85.  *          <li>
  86.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  87.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  88.  *          </li>
  89.  *          <li>
  90.  *              Burgard, C., and M. Kjaer (2014): In the Balance, Risk, 24 (11) 72-75
  91.  *          </li>
  92.  *          <li>
  93.  *              Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  94.  *                  86-90
  95.  *          </li>
  96.  *          <li>
  97.  *              Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading
  98.  *                  Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market
  99.  *                  <i>World Scientific Publishing </i> <b>Singapore</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/mpor/README.md">Margin Period Collateral Amount Estimation</a></li>
  114.  *  </ul>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class CollateralAmountEstimatorOutput
  120. {
  121.     private double _postingRequirement = java.lang.Double.NaN;
  122.     private double _clientWindowMarginValue = java.lang.Double.NaN;
  123.     private double _dealerWindowMarginValue = java.lang.Double.NaN;
  124.     private double _clientPostingRequirement = java.lang.Double.NaN;
  125.     private double _dealerPostingRequirement = java.lang.Double.NaN;
  126.     private double _clientCollateralThreshold = java.lang.Double.NaN;
  127.     private double _dealerCollateralThreshold = java.lang.Double.NaN;
  128.     private org.drip.analytics.date.JulianDate _clientMarginDate = null;
  129.     private org.drip.analytics.date.JulianDate _dealerMarginDate = null;

  131.     /**
  132.      * CollateralAmountEstimatorOutput Constructor
  133.      * 
  134.      * @param dealerMarginDate The Dealer Margin Date
  135.      * @param clientMarginDate The Client Margin Date
  136.      * @param dealerWindowMarginValue The Margin Value at the Dealer Default Window
  137.      * @param dealerCollateralThreshold The Dealer Collateral Threshold
  138.      * @param dealerPostingRequirement The Dealer Collateral Posting Requirement
  139.      * @param clientWindowMarginValue The Margin Value at the Client Default Window
  140.      * @param clientCollateralThreshold The Client Collateral Threshold
  141.      * @param clientPostingRequirement The Client Collateral Posting Requirement
  142.      * @param postingRequirement The Total Collateral Posting Requirement
  143.      * 
  144.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  145.      */

  147.     public CollateralAmountEstimatorOutput (
  148.         final org.drip.analytics.date.JulianDate dealerMarginDate,
  149.         final org.drip.analytics.date.JulianDate clientMarginDate,
  150.         final double dealerWindowMarginValue,
  151.         final double dealerCollateralThreshold,
  152.         final double dealerPostingRequirement,
  153.         final double clientWindowMarginValue,
  154.         final double clientCollateralThreshold,
  155.         final double clientPostingRequirement,
  156.         final double postingRequirement)
  157.         throws java.lang.Exception
  158.     {
  159.         if (null == (_dealerMarginDate = dealerMarginDate) ||
  160.             null == (_clientMarginDate = clientMarginDate) ||
  161.             !org.drip.numerical.common.NumberUtil.IsValid (_dealerWindowMarginValue = dealerWindowMarginValue) ||
  162.             !org.drip.numerical.common.NumberUtil.IsValid (_dealerCollateralThreshold =
  163.                 dealerCollateralThreshold) ||
  164.             !org.drip.numerical.common.NumberUtil.IsValid (_dealerPostingRequirement = dealerPostingRequirement)
  165.                 ||
  166.             !org.drip.numerical.common.NumberUtil.IsValid (_clientWindowMarginValue = clientWindowMarginValue) ||
  167.             !org.drip.numerical.common.NumberUtil.IsValid (_clientCollateralThreshold =
  168.                 clientCollateralThreshold) ||
  169.             !org.drip.numerical.common.NumberUtil.IsValid (_clientPostingRequirement = clientPostingRequirement)
  170.                 ||
  171.             !org.drip.numerical.common.NumberUtil.IsValid (_postingRequirement = postingRequirement))
  172.         {
  173.             throw new java.lang.Exception ("CollateralAmountEstimatorOutput Constructor => Invalid Inputs");
  174.         }
  175.     }

  177.     /**
  178.      * Retrieve the Dealer Margin Date
  179.      * 
  180.      * @return The Dealer Margin Date
  181.      */

  183.     public org.drip.analytics.date.JulianDate dealerMarginDate()
  184.     {
  185.         return _dealerMarginDate;
  186.     }

  188.     /**
  189.      * Retrieve the Client Margin Date
  190.      * 
  191.      * @return The Client Margin Date
  192.      */

  194.     public org.drip.analytics.date.JulianDate clientMarginDate()
  195.     {
  196.         return _clientMarginDate;
  197.     }

  199.     /**
  200.      * Retrieve the Margin Value at the Dealer Default Window
  201.      * 
  202.      * @return The Margin Value at the Dealer Default Window
  203.      */

  205.     public double dealerWindowMarginValue()
  206.     {
  207.         return _dealerWindowMarginValue;
  208.     }

  210.     /**
  211.      * Retrieve the Dealer Collateral Threshold
  212.      * 
  213.      * @return The Dealer Collateral Threshold
  214.      */

  216.     public double dealerCollateralThreshold()
  217.     {
  218.         return _dealerCollateralThreshold;
  219.     }

  221.     /**
  222.      * Retrieve the Dealer Posting Requirement
  223.      * 
  224.      * @return The Dealer Posting Requirement
  225.      */

  227.     public double dealerPostingRequirement()
  228.     {
  229.         return _dealerPostingRequirement;
  230.     }

  232.     /**
  233.      * Retrieve the Margin Value at the Client Default Window
  234.      * 
  235.      * @return The Margin Value at the Client Default Window
  236.      */

  238.     public double clientWindowMarginValue()
  239.     {
  240.         return _clientWindowMarginValue;
  241.     }

  243.     /**
  244.      * Retrieve the Client Collateral Threshold
  245.      * 
  246.      * @return The Client Collateral Threshold
  247.      */

  249.     public double clientCollateralThreshold()
  250.     {
  251.         return _clientCollateralThreshold;
  252.     }

  254.     /**
  255.      * Retrieve the Client Posting Requirement
  256.      * 
  257.      * @return The Client Posting Requirement
  258.      */

  260.     public double clientPostingRequirement()
  261.     {
  262.         return _clientPostingRequirement;
  263.     }

  265.     /**
  266.      * Retrieve the Total Collateral Posting Requirement
  267.      * 
  268.      * @return The Total Collateral Posting Requirement
  269.      */

  271.     public double postingRequirement()
  272.     {
  273.         return _postingRequirement;
  274.     }
  275. }
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