BaselExposureDigest.java

  1. package org.drip.xva.gross;

  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>BaselExposureDigest</i> holds the Conservative Exposure Measures generated using the Standardized Basel
  80.  * Approach. The References are:
  81.  *
  82.  *  <br><br>
  83.  *  <ul>
  84.  *      <li>
  85.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk
  86.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 <b>eSSRN</b>
  87.  *      </li>
  88.  *      <li>
  89.  *          Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial
  90.  *              Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 <b>eSSRN</b>
  91.  *      </li>
  92.  *      <li>
  93.  *          Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back testing
  94.  *              Framework for Forecasting Initial Margin Requirements
  95.  *              https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 <b>eSSRN</b>
  96.  *      </li>
  97.  *      <li>
  98.  *          BCBS (2015): <i>Margin Requirements for Non-centrally Cleared Derivatives</i>
  99.  *              https://www.bis.org/bcbs/publ/d317.pdf
  100.  *      </li>
  101.  *      <li>
  102.  *          Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties <i>Journal of
  103.  *              Credit Risk</i> <b>5 (4)</b> 3-27
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
  111.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/README.md">Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead</a></li>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/gross/README.md">XVA Gross Adiabat Exposure Aggregation</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class BaselExposureDigest
  120. {
  121.     private double _expectedExposure = java.lang.Double.NaN;
  122.     private double _exposureAtDefault = java.lang.Double.NaN;
  123.     private double _expectedPositiveExposure = java.lang.Double.NaN;
  124.     private double _effectiveExpectedExposure = java.lang.Double.NaN;
  125.     private double _effectiveExpectedPositiveExposure = java.lang.Double.NaN;

  127.     /**
  128.      * BaselExposureDigest Constructor
  129.      * 
  130.      * @param expectedExposure The Expected Exposure
  131.      * @param expectedPositiveExposure The Expected Positive Exposure
  132.      * @param effectiveExpectedExposure The Effective Expected Exposure
  133.      * @param effectiveExpectedPositiveExposure The Effective Expected Positive Exposure
  134.      * @param exposureAtDefault The Exposure At Default
  135.      * 
  136.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  137.      */

  139.     public BaselExposureDigest (
  140.         final double expectedExposure,
  141.         final double expectedPositiveExposure,
  142.         final double effectiveExpectedExposure,
  143.         final double effectiveExpectedPositiveExposure,
  144.         final double exposureAtDefault)
  145.         throws java.lang.Exception
  146.     {
  147.         if (!org.drip.numerical.common.NumberUtil.IsValid (_expectedExposure = expectedExposure) ||
  148.             !org.drip.numerical.common.NumberUtil.IsValid (_expectedPositiveExposure = expectedPositiveExposure)
  149.                 ||
  150.             !org.drip.numerical.common.NumberUtil.IsValid (_effectiveExpectedExposure =
  151.                 effectiveExpectedExposure) ||
  152.             !org.drip.numerical.common.NumberUtil.IsValid (_effectiveExpectedPositiveExposure =
  153.                 effectiveExpectedPositiveExposure) ||
  154.             !org.drip.numerical.common.NumberUtil.IsValid (_exposureAtDefault = exposureAtDefault))
  155.         {
  156.             throw new java.lang.Exception ("BaselExposureDigest Constructor => Invalid Inputs");
  157.         }
  158.     }

  160.     /**
  161.      * Retrieve the Expected Exposure
  162.      * 
  163.      * @return The Expected Exposure
  164.      */

  166.     public double expectedExposure()
  167.     {
  168.         return _expectedExposure;
  169.     }

  171.     /**
  172.      * Retrieve the Expected Positive Exposure
  173.      * 
  174.      * @return The Expected Positive Exposure
  175.      */

  177.     public double expectedPositiveExposure()
  178.     {
  179.         return _expectedPositiveExposure;
  180.     }

  182.     /**
  183.      * Retrieve the Effective Expected Exposure
  184.      * 
  185.      * @return The Effective Expected Exposure
  186.      */

  188.     public double effectiveExpectedExposure()
  189.     {
  190.         return _effectiveExpectedExposure;
  191.     }

  193.     /**
  194.      * Retrieve the Effective Expected Positive Exposure
  195.      * 
  196.      * @return The Effective Expected Positive Exposure
  197.      */

  199.     public double effectiveExpectedPositiveExposure()
  200.     {
  201.         return _effectiveExpectedPositiveExposure;
  202.     }

  204.     /**
  205.      * Retrieve the Exposure At Default
  206.      * 
  207.      * @return The Exposure At Default
  208.      */

  210.     public double exposureAtDefault()
  211.     {
  212.         return _exposureAtDefault;
  213.     }
  214. }
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