VariationMarginTradeVertexExposure.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.  * 
  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>VariationMarginTradeVertexExposure</i> holds the Variation Margin, Trade Payments, and Exposures for a
  80.  * specific Forward Vertex Date. The References are:
  81.  *  
  82.  * <br><br>
  83.  *      <ul>
  84.  *          <li>
  85.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  86.  *                  (12)</b> 82-87
  87.  *          </li>
  88.  *          <li>
  89.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  90.  *          </li>
  91.  *          <li>
  92.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  93.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  94.  *          </li>
  95.  *          <li>
  96.  *              Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting
  97.  *                  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 <b>eSSRN</b>
  98.  *          </li>
  99.  *          <li>
  100.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  101.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  102.  *          </li>
  103.  *          <li>
  104.  *      </ul>
  105.  *
  106.  *  <br><br>
  107.  *  <ul>
  108.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  109.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  110.  *      <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>
  111.  *      <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>
  112.  *  </ul>
  113.  * 
  114.  * @author Lakshmi Krishnamurthy
  115.  */

  117. public class VariationMarginTradeVertexExposure
  118. {
  119.     private double _clientTradePaymentGap = java.lang.Double.NaN;
  120.     private double _variationMarginPosting = java.lang.Double.NaN;
  121.     private double _variationMarginEstimate = java.lang.Double.NaN;
  122.     private double _clientDealerTradePaymentGap = java.lang.Double.NaN;
  123.     private org.drip.exposure.csatimeline.LastFlowDates _lastFlowDates = null;

  125.     /**
  126.      * VariationMarginTradeVertexExposure Constructor
  127.      * 
  128.      * @param variationMarginEstimate The Calculation Agent Generated Variation Margin Estimate
  129.      * @param variationMarginPosting The Actual Variation Margin Posted from Collateral Rules and Operational
  130.      *      Delays
  131.      * @param clientTradePaymentGap The Client Trade Payment Gap
  132.      * @param clientDealerTradePaymentGap The Client-to-Dealer Net Trade Payment Gap
  133.      * @param lastFlowDates The Last Flow Dates
  134.      * 
  135.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  136.      */

  138.     public VariationMarginTradeVertexExposure (
  139.         final double variationMarginEstimate,
  140.         final double variationMarginPosting,
  141.         final double clientTradePaymentGap,
  142.         final double clientDealerTradePaymentGap,
  143.         final org.drip.exposure.csatimeline.LastFlowDates lastFlowDates)
  144.         throws java.lang.Exception
  145.     {
  146.         if (!org.drip.numerical.common.NumberUtil.IsValid (_variationMarginEstimate = variationMarginEstimate) ||
  147.             !org.drip.numerical.common.NumberUtil.IsValid (_variationMarginPosting = variationMarginPosting) ||
  148.             !org.drip.numerical.common.NumberUtil.IsValid (_clientTradePaymentGap = clientTradePaymentGap) ||
  149.             !org.drip.numerical.common.NumberUtil.IsValid (_clientDealerTradePaymentGap =
  150.                 clientDealerTradePaymentGap) ||
  151.             null == (_lastFlowDates = lastFlowDates))
  152.         {
  153.             throw new java.lang.Exception
  154.                 ("VariationMarginTradeVertexExposure Constructor => Invalid Inputs");
  155.         }
  156.     }

  158.     /**
  159.      * Retrieve the Calculation Agent Generated Variation Margin Estimate
  160.      * 
  161.      * @return The Calculation Agent Generated Variation Margin Estimate
  162.      */

  164.     public double variationMarginEstimate()
  165.     {
  166.         return _variationMarginEstimate;
  167.     }

  169.     /**
  170.      * Retrieve the Actual Variation Margin Posted from Collateral Rules and Operational Delays
  171.      * 
  172.      * @return The Actual Variation Margin Posted from Collateral Rules and Operational Delays
  173.      */

  175.     public double variationMarginPosting()
  176.     {
  177.         return _variationMarginPosting;
  178.     }

  180.     /**
  181.      * Retrieve the Variation Margin Gap
  182.      * 
  183.      * @return The Variation Margin Gap
  184.      */

  186.     public double variationMarginGap()
  187.     {
  188.         return _variationMarginEstimate - _variationMarginPosting;
  189.     }

  191.     /**
  192.      * Retrieve the Client Trade Payment Gap
  193.      * 
  194.      * @return The Client Trade Payment Gap
  195.      */

  197.     public double clientTradePaymentGap()
  198.     {
  199.         return _clientTradePaymentGap;
  200.     }

  202.     /**
  203.      * Retrieve the Client-to-Dealer Net Trade Payment Gap
  204.      * 
  205.      * @return The Client-to-Dealer Net Trade Payment Gap
  206.      */

  208.     public double clientDealerTradePaymentGap()
  209.     {
  210.         return _clientDealerTradePaymentGap;
  211.     }

  213.     /**
  214.      * Retrieve the Trade Payment Gap
  215.      * 
  216.      * @return The Trade Payment Gap
  217.      */

  219.     public double tradePaymentGap()
  220.     {
  221.         return _clientTradePaymentGap + _clientDealerTradePaymentGap;
  222.     }

  224.     /**
  225.      * Retrieve the Collateralized Exposure
  226.      * 
  227.      * @return The Collateralized Exposure
  228.      */

  230.     public double collateralizedExposure()
  231.     {
  232.         return _variationMarginEstimate + _clientTradePaymentGap + _clientDealerTradePaymentGap -
  233.             _variationMarginPosting;
  234.     }

  236.     /**
  237.      * Retrieve the Collateralized Positive Exposure
  238.      * 
  239.      * @return The Collateralized Positive Exposure
  240.      */

  242.     public double collateralizedPositiveExposure()
  243.     {
  244.         double collateralizedExposure = collateralizedExposure();

  246.         return collateralizedExposure > 0. ? collateralizedExposure : 0.;
  247.     }

  249.     /**
  250.      * Retrieve the Last Flow Dates
  251.      * 
  252.      * @return The Last Flow Dates
  253.      */

  255.     public org.drip.exposure.csatimeline.LastFlowDates lastFlowDates()
  256.     {
  257.         return _lastFlowDates;
  258.     }
  259. }
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