MarginPeriodOfRisk.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>MarginPeriodOfRisk</i> contains the Margining Information associated with the Client Exposure. 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 MarginPeriodOfRisk
{

    /**
     * MPoR Interpolation Type - LINEAR
     */

    public static final int MPOR_INTERPOLATION_LINEAR = 1;

    /**
     * MPoR Interpolation Type - SQRT_T
     */

    public static final int MPOR_INTERPOLATION_SQRT_T = 2;

    /**
     * MPoR Interpolation Type - BROWNIAN_BRIDGE
     */

    public static final int MPOR_INTERPOLATION_BROWNIAN_BRIDGE = 4;

    private int _interpolationType = -1;
    private int _marginCallFrequency = -1;

    /**
     * Construct a Standard Instance of MarginPeriodOfRisk
     * 
     * @return The Standard Instance of MarginPeriodOfRisk
     */

    public static final MarginPeriodOfRisk Standard()
    {
        try
        {
            return new MarginPeriodOfRisk (
                1,
                MPOR_INTERPOLATION_BROWNIAN_BRIDGE
            );
        }
        catch (java.lang.Exception e)
        {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * MarginPeriodOfRisk Constructor
     * 
     * @param marginCallFrequency The MPoR Margin Call Frequency
     * @param interpolationType The MPoR Interpolation Type
     * 
     * @throws java.lang.Exception Thrown if the Inputs are Invalid
     */

    public MarginPeriodOfRisk (
        final int marginCallFrequency,
        final int interpolationType)
        throws java.lang.Exception
    {
        if (-1 >= (_marginCallFrequency = marginCallFrequency) ||
            (MPOR_INTERPOLATION_LINEAR != (_interpolationType = interpolationType) &&
            MPOR_INTERPOLATION_SQRT_T != _interpolationType &&
            MPOR_INTERPOLATION_BROWNIAN_BRIDGE != _interpolationType))
        {
            throw new java.lang.Exception ("MarginPeriodOfRisk Constructor => Invalid Inputs");
        }
    }

    /**
     * Retrieve the MPoR Margin Call Frequency
     * 
     * @return The MPoR Margin Call Frequency
     */

    public int marginCallFrequency()
    {
        return _marginCallFrequency;
    }

    /**
     * Retrieve the MPoR Interpolation Type
     * 
     * @return The MPoR Interpolation Type
     */

    public int interpolationType()
    {
        return _interpolationType;
    }
}