StandardizedExposureGeneratorScheme.java

  1. package org.drip.xva.settings;

  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>StandardizedExposureGeneratorScheme</i> holds the Fields for the Generation of the Conservative
  80.  * Exposure Measures generated using the Standardized Basel Scheme. 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): Margin Requirements for Non-centrally Cleared Derivatives
  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/settings/README.md">XVA Group and Path Settings</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class StandardizedExposureGeneratorScheme
  120. {

  122.     /**
  123.      * Basel Standard Time Integrand
  124.      */

  126.     public static final int BASEL_STANDARD_TIME_INTEGRAND = 365;

  128.     private int _timeIntegrand = -1;
  129.     private double _eadMultiplier = java.lang.Double.NaN;
  130.     private org.drip.spline.params.SegmentCustomBuilderControl _collateralizedExposureSegmentBuilderControl =
  131.         null;
  132.     private org.drip.spline.params.SegmentCustomBuilderControl
  133.         _collateralizedPositiveExposureSegmentBuilderControl = null;

  135.     /**
  136.      * Construct a Basel Instance of the StandardizedExposureGeneratorScheme
  137.      * 
  138.      * @param eadMultiplier The EAD Multiplier
  139.      * 
  140.      * @return The StandardizedExposureGeneratorScheme Instance
  141.      */

  143.     public static final StandardizedExposureGeneratorScheme Basel (
  144.         final double eadMultiplier)
  145.     {
  146.         try
  147.         {
  148.             org.drip.spline.params.SegmentCustomBuilderControl segmentCustomBuilderControl = new
  149.                 org.drip.spline.params.SegmentCustomBuilderControl (
  150.                     org.drip.spline.stretch.MultiSegmentSequenceBuilder.BASIS_SPLINE_POLYNOMIAL,
  151.                     new org.drip.spline.basis.PolynomialFunctionSetParams (2),
  152.                     org.drip.spline.params.SegmentInelasticDesignControl.Create (
  153.                         0,
  154.                         2
  155.                     ),
  156.                     new org.drip.spline.params.ResponseScalingShapeControl (
  157.                         true,
  158.                         new org.drip.function.r1tor1.QuadraticRationalShapeControl (0.)
  159.                     ),
  160.                     null
  161.                 );

  163.             return new StandardizedExposureGeneratorScheme (
  164.                 eadMultiplier,
  165.                 BASEL_STANDARD_TIME_INTEGRAND,
  166.                 segmentCustomBuilderControl,
  167.                 segmentCustomBuilderControl
  168.             );
  169.         }
  170.         catch (java.lang.Exception e)
  171.         {
  172.             e.printStackTrace();
  173.         }

  175.         return null;
  176.     }

  178.     /**
  179.      * StandardizedExposureGeneratorScheme Constructor
  180.      * 
  181.      * @param eadMultiplier The EAD Multiplier
  182.      * @param timeIntegrand The Time Integrand
  183.      * @param collateralizedExposureSegmentBuilderControl The Collateralized Segment Builder Control
  184.      * @param collateralizedPositiveExposureSegmentBuilderControl The Collateralized Positive Segment Builder
  185.      *  Control
  186.      * 
  187.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  188.      */

  190.     public StandardizedExposureGeneratorScheme (
  191.         final double eadMultiplier,
  192.         final int timeIntegrand,
  193.         final org.drip.spline.params.SegmentCustomBuilderControl collateralizedExposureSegmentBuilderControl,
  194.         final org.drip.spline.params.SegmentCustomBuilderControl
  195.             collateralizedPositiveExposureSegmentBuilderControl)
  196.         throws java.lang.Exception
  197.     {
  198.         if (!org.drip.numerical.common.NumberUtil.IsValid (_eadMultiplier = eadMultiplier) ||0. >= _eadMultiplier
  199.             || 0 >= (_timeIntegrand = timeIntegrand) ||
  200.             null == (_collateralizedExposureSegmentBuilderControl =
  201.                 collateralizedExposureSegmentBuilderControl) ||
  202.             null == (_collateralizedPositiveExposureSegmentBuilderControl =
  203.                 collateralizedPositiveExposureSegmentBuilderControl))
  204.         {
  205.             throw new java.lang.Exception
  206.                 ("StandardizedExposureGeneratorScheme Constructor => Invalid Inputs");
  207.         }
  208.     }

  210.     /**
  211.      * Retrieve the EAD Multiplier
  212.      * 
  213.      * @return The EAD Multiplier
  214.      */

  216.     public double eadMultiplier()
  217.     {
  218.         return _eadMultiplier;
  219.     }

  221.     /**
  222.      * Retrieve the Time Integrand
  223.      * 
  224.      * @return The Time Integrand
  225.      */

  227.     public int timeIntegrand()
  228.     {
  229.         return _timeIntegrand;
  230.     }

  232.     /**
  233.      * Retrieve the Collateralized Exposure Segment Builder Control
  234.      * 
  235.      * @return The Collateralized Exposure Segment Builder Control
  236.      */

  238.     public org.drip.spline.params.SegmentCustomBuilderControl collateralizedExposureSegmentBuilderControl()
  239.     {
  240.         return _collateralizedExposureSegmentBuilderControl;
  241.     }

  243.     /**
  244.      * Retrieve the Collateralized Positive Exposure Segment Builder Control
  245.      * 
  246.      * @return The Collateralized Positive Exposure Segment Builder Control
  247.      */

  249.     public org.drip.spline.params.SegmentCustomBuilderControl
  250.         collateralizedPositiveExposureSegmentBuilderControl()
  251.     {
  252.         return _collateralizedPositiveExposureSegmentBuilderControl;
  253.     }
  254. }
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