VariationMarginTradeVertexExposure.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
*
* 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>VariationMarginTradeVertexExposure</i> holds the Variation Margin, Trade Payments, and Exposures for a
* specific Forward Vertex Date. The References are:
*
* <br><br>
* <ul>
* <li>
* Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
* (12)</b> 82-87
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <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 (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/mpor/README.md">Margin Period Collateral Amount Estimation</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class VariationMarginTradeVertexExposure
{
private double _clientTradePaymentGap = java.lang.Double.NaN;
private double _variationMarginPosting = java.lang.Double.NaN;
private double _variationMarginEstimate = java.lang.Double.NaN;
private double _clientDealerTradePaymentGap = java.lang.Double.NaN;
private org.drip.exposure.csatimeline.LastFlowDates _lastFlowDates = null;
/**
* VariationMarginTradeVertexExposure Constructor
*
* @param variationMarginEstimate The Calculation Agent Generated Variation Margin Estimate
* @param variationMarginPosting The Actual Variation Margin Posted from Collateral Rules and Operational
* Delays
* @param clientTradePaymentGap The Client Trade Payment Gap
* @param clientDealerTradePaymentGap The Client-to-Dealer Net Trade Payment Gap
* @param lastFlowDates The Last Flow Dates
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public VariationMarginTradeVertexExposure (
final double variationMarginEstimate,
final double variationMarginPosting,
final double clientTradePaymentGap,
final double clientDealerTradePaymentGap,
final org.drip.exposure.csatimeline.LastFlowDates lastFlowDates)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_variationMarginEstimate = variationMarginEstimate) ||
!org.drip.numerical.common.NumberUtil.IsValid (_variationMarginPosting = variationMarginPosting) ||
!org.drip.numerical.common.NumberUtil.IsValid (_clientTradePaymentGap = clientTradePaymentGap) ||
!org.drip.numerical.common.NumberUtil.IsValid (_clientDealerTradePaymentGap =
clientDealerTradePaymentGap) ||
null == (_lastFlowDates = lastFlowDates))
{
throw new java.lang.Exception
("VariationMarginTradeVertexExposure Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Calculation Agent Generated Variation Margin Estimate
*
* @return The Calculation Agent Generated Variation Margin Estimate
*/
public double variationMarginEstimate()
{
return _variationMarginEstimate;
}
/**
* Retrieve the Actual Variation Margin Posted from Collateral Rules and Operational Delays
*
* @return The Actual Variation Margin Posted from Collateral Rules and Operational Delays
*/
public double variationMarginPosting()
{
return _variationMarginPosting;
}
/**
* Retrieve the Variation Margin Gap
*
* @return The Variation Margin Gap
*/
public double variationMarginGap()
{
return _variationMarginEstimate - _variationMarginPosting;
}
/**
* Retrieve the Client Trade Payment Gap
*
* @return The Client Trade Payment Gap
*/
public double clientTradePaymentGap()
{
return _clientTradePaymentGap;
}
/**
* Retrieve the Client-to-Dealer Net Trade Payment Gap
*
* @return The Client-to-Dealer Net Trade Payment Gap
*/
public double clientDealerTradePaymentGap()
{
return _clientDealerTradePaymentGap;
}
/**
* Retrieve the Trade Payment Gap
*
* @return The Trade Payment Gap
*/
public double tradePaymentGap()
{
return _clientTradePaymentGap + _clientDealerTradePaymentGap;
}
/**
* Retrieve the Collateralized Exposure
*
* @return The Collateralized Exposure
*/
public double collateralizedExposure()
{
return _variationMarginEstimate + _clientTradePaymentGap + _clientDealerTradePaymentGap -
_variationMarginPosting;
}
/**
* Retrieve the Collateralized Positive Exposure
*
* @return The Collateralized Positive Exposure
*/
public double collateralizedPositiveExposure()
{
double collateralizedExposure = collateralizedExposure();
return collateralizedExposure > 0. ? collateralizedExposure : 0.;
}
/**
* Retrieve the Last Flow Dates
*
* @return The Last Flow Dates
*/
public org.drip.exposure.csatimeline.LastFlowDates lastFlowDates()
{
return _lastFlowDates;
}
}