AndersenPykhtinSokolDates.java
package org.drip.sample.csaevents;
import org.drip.analytics.date.DateUtil;
import org.drip.analytics.date.JulianDate;
import org.drip.exposure.csatimeline.AndersenPykhtinSokolLag;
import org.drip.exposure.csatimeline.LastFlowDates;
import org.drip.service.env.EnvManager;
/*
* -*- 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>AndersenPykhtinSokolDates</i> generates the Intra-Period Dates inside a Margin. Flow Dates are
* generated for the Classical+, Classical-, "Aggressive", and "Conservative" Timeline Schemes. The
* References are:
*
* <br><br>
* <ul>
* <li>
* Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
* </li>
* <li>
* Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
* Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
* </li>
* <li>
* Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back-testing
* Framework for Forecasting Initial Margin Requirements
* https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
* </li>
* <li>
* BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives
* https://www.bis.org/bcbs/publ/d317.pdf
* </li>
* <li>
* Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties <i>Journal of
* Credit Risk</i> <b>5 (4)</b> 3-27
* </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/sample/README.md">DROP API Construction and Usage</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/csaevents/README.md">Time-line of IMA/CSA Event Sequences</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class AndersenPykhtinSokolDates
{
public static final void main (
final String[] args)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate spot = DateUtil.CreateFromYMD (
2018,
DateUtil.APRIL,
16
);
String calendar = "USD";
LastFlowDates csaFlowDatesClassicalPlus = LastFlowDates.SpotStandard (
spot,
AndersenPykhtinSokolLag.ClassicalPlus(),
calendar
);
LastFlowDates csaFlowDatesClassicalMinus = LastFlowDates.SpotStandard (
spot,
AndersenPykhtinSokolLag.ClassicalMinus(),
calendar
);
LastFlowDates csaFlowDatesAggressive = LastFlowDates.SpotStandard (
spot,
AndersenPykhtinSokolLag.Aggressive(),
calendar
);
LastFlowDates csaFlowDatesConservative = LastFlowDates.SpotStandard (
spot,
AndersenPykhtinSokolLag.Conservative(),
calendar
);
System.out.println (
"\t|------------------------------------------------------------------------------------------------||"
);
System.out.println (
"\t| INTRA-MARGIN CSA EVENT DATE GENERATION USING ANDERSEN PYKHTIN SOKOL PARAMETRIZATION ||"
);
System.out.println (
"\t|------------------------------------------------------------------------------------------------||"
);
System.out.println (
"\t| ||"
);
System.out.println (
"\t| L -> R: ||"
);
System.out.println (
"\t| ||"
);
System.out.println (
"\t| - CSA Event Date ||"
);
System.out.println (
"\t| - CSA Event Type ||"
);
System.out.println (
"\t| - Classical- Scheme ||"
);
System.out.println (
"\t| - Classical+ Scheme ||"
);
System.out.println (
"\t| - Aggressive Scheme ||"
);
System.out.println (
"\t| - Conservative Scheme ||"
);
System.out.println (
"\t| ||"
);
System.out.println (
"\t|------------------------------------------------------------------------------------------------||"
);
System.out.println (
"\t| Margin Valuation Date => SETTLEMENT | " +
csaFlowDatesClassicalPlus.valuation() + " | " +
csaFlowDatesClassicalMinus.valuation() + " | " +
csaFlowDatesAggressive.valuation() + " | " +
csaFlowDatesConservative.valuation() + " ||"
);
System.out.println (
"\t| Client Margin Flow Date => OBSERVATION | " +
csaFlowDatesClassicalPlus.clientVariationMarginPosting() + " | " +
csaFlowDatesClassicalMinus.clientVariationMarginPosting() + " | " +
csaFlowDatesAggressive.clientVariationMarginPosting() + " | " +
csaFlowDatesConservative.clientVariationMarginPosting() + " ||"
);
System.out.println (
"\t| Dealer Margin Flow Date => OBSERVATION | " +
csaFlowDatesClassicalPlus.dealerVariationMarginPosting() + " | " +
csaFlowDatesClassicalMinus.dealerVariationMarginPosting() + " | " +
csaFlowDatesAggressive.dealerVariationMarginPosting() + " | " +
csaFlowDatesConservative.dealerVariationMarginPosting() + " ||"
);
System.out.println (
"\t| Client Trade Flow Date => SETTLEMENT | " +
csaFlowDatesClassicalPlus.clientTradePayment() + " | " +
csaFlowDatesClassicalMinus.clientTradePayment() + " | " +
csaFlowDatesAggressive.clientTradePayment() + " | " +
csaFlowDatesConservative.clientTradePayment() + " ||"
);
System.out.println (
"\t| Dealer Trade Flow Date => SETTLEMENT | " +
csaFlowDatesClassicalPlus.dealerTradePayment() + " | " +
csaFlowDatesClassicalMinus.dealerTradePayment() + " | " +
csaFlowDatesAggressive.dealerTradePayment() + " | " +
csaFlowDatesConservative.dealerTradePayment() + " ||"
);
System.out.println (
"\t| Early Termination Date => OBSERVATION | " +
csaFlowDatesClassicalPlus.spot() + " | " +
csaFlowDatesClassicalMinus.spot() + " | " +
csaFlowDatesAggressive.spot() + " | " +
csaFlowDatesConservative.spot() + " ||"
);
System.out.println (
"\t| Spot Date => OBSERVATION | " +
csaFlowDatesClassicalPlus.spot() + " | " +
csaFlowDatesClassicalMinus.spot() + " | " +
csaFlowDatesAggressive.spot() + " | " +
csaFlowDatesConservative.spot() + " ||"
);
System.out.println (
"\t|------------------------------------------------------------------------------------------------||"
);
EnvManager.TerminateEnv();
}
}