Features:

- Andersen Pykhtin Sokol Lag Aggressive (1) - Andersen Pykhtin Sokol Lag Conservative (2) - Andersen Pykhtin Sokol Lag Shell (3, 4) - Last Client Margin Flow Date (5) - Last Dealer Margin Flow Date (6) - Last Client Trade Flow Date (7) - Last Dealer Trade Flow Date (8) - Spot/ETD Event Observation Date (9, 10) - Margin Period Collateral Valuation Date (11) - Last Flow Dates - Constructor/Annotation (12, 13, 14) - Last Flow Dates - Spot Standard #1 (15, 16) - Last Flow Dates - Spot Standard #2 (17, 18) - Event Sequence Last Cash Flows (19, 20) - Last Cash Flows - Valuation Date (21, 22) - Position Group Numeraire Trade Flow (39) - Holdings Fix Float Basel Duration (40) - Single Stream DV01 Numeraire Shell (41, 42) - Trim Off Trade Flows Array (43) - Single Stream DV01 Effective Date (44) - Single Stream DV01 Maturity Date (45) - Single Stream DV01 Pay Frequency (46) - Stream DV01 XVA Holdings #1 (47, 48) - Stream DV01 XVA Holdings #2 (49, 50) - Stream DV01 XVA Holdings #3 (51, 52) Bug Fixes/Clean-up: Samples: - Andersen Pykhtin Sokol Dates Shell (23, 24) - Andersen Pykhtin Sokol Dates #1 (25, 26) - Andersen Pykhtin Sokol Dates #2 (27, 28) - Andersen Pykhtin Sokol Dates #3 (29, 30) - Andersen Pykhtin Sokol Dates #4 (31, 32) - Andersen Pykhtin Sokol Dates #5 (33, 34) - Andersen Pykhtin Sokol Dates #6 (35) - Andersen Pykhtin Sokol Dates Format (36, 37, 38)
lakshmiDRIP · Apr 17, 2018 · 15142c3 · 15142c3
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diff --git a/ReleaseNotes/04_24_2018.txt b/ReleaseNotes/04_24_2018.txt
@@ -0,0 +1,41 @@
+
+Features:
+
+	- Andersen Pykhtin Sokol Lag Aggressive (1)
+	- Andersen Pykhtin Sokol Lag Conservative (2)
+	- Andersen Pykhtin Sokol Lag Shell (3, 4)
+	- Last Client Margin Flow Date (5)
+	- Last Dealer Margin Flow Date (6)
+	- Last Client Trade Flow Date (7)
+	- Last Dealer Trade Flow Date (8)
+	- Spot/ETD Event Observation Date (9, 10)
+	- Margin Period Collateral Valuation Date (11)
+	- Last Flow Dates - Constructor/Annotation (12, 13, 14)
+	- Last Flow Dates - Spot Standard #1 (15, 16)
+	- Last Flow Dates - Spot Standard #2 (17, 18)
+	- Event Sequence Last Cash Flows (19, 20)
+	- Last Cash Flows - Valuation Date (21, 22)
+	- Position Group Numeraire Trade Flow (39)
+	- Holdings Fix Float Basel Duration (40)
+	- Single Stream DV01 Numeraire Shell (41, 42)
+	- Trim Off Trade Flows Array (43)
+	- Single Stream DV01 Effective Date (44)
+	- Single Stream DV01 Maturity Date (45)
+	- Single Stream DV01 Pay Frequency (46)
+	- Stream DV01 XVA Holdings #1 (47, 48)
+	- Stream DV01 XVA Holdings #2 (49, 50)
+	- Stream DV01 XVA Holdings #3 (51, 52)
+
+
+Bug Fixes/Clean-up:
+
+Samples:
+
+	- Andersen Pykhtin Sokol Dates Shell (23, 24)
+	- Andersen Pykhtin Sokol Dates #1 (25, 26)
+	- Andersen Pykhtin Sokol Dates #2 (27, 28)
+	- Andersen Pykhtin Sokol Dates #3 (29, 30)
+	- Andersen Pykhtin Sokol Dates #4 (31, 32)
+	- Andersen Pykhtin Sokol Dates #5 (33, 34)
+	- Andersen Pykhtin Sokol Dates #6 (35)
+	- Andersen Pykhtin Sokol Dates Format (36, 37, 38)
diff --git a/src/main/java/org/drip/sample/csaevents/AndersenPykhtinSokolDates.java b/src/main/java/org/drip/sample/csaevents/AndersenPykhtinSokolDates.java
@@ -0,0 +1,237 @@
+
+package org.drip.sample.csaevents;
+
+import org.drip.analytics.date.DateUtil;
+import org.drip.analytics.date.JulianDate;
+import org.drip.service.env.EnvManager;
+import org.drip.xva.csatimeline.AndersenPykhtinSokolLag;
+import org.drip.xva.csatimeline.LastFlowDates;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2018 Lakshmi Krishnamurthy
+ * 
+ *  This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
+ *  	libraries targeting analysts and developers
+ *  	https://lakshmidrip.github.io/DRIP/
+ *  
+ *  DRIP is composed of four main libraries:
+ *  
+ *  - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
+ *  - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
+ *  - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
+ *  - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
+ * 
+ *  - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
+ *  	Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
+ *  	Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
+ *  	Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
+ *  	Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
+ * 
+ *  - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
+ *  	Incorporator, Holdings Constraint, and Transaction Costs.
+ * 
+ *  - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
+ * 
+ *  - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
+ * 
+ *  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.
+ */
+
+/**
+ * AndersenPykhtinSokolDates generates the Intra-Period Dates inside a Margin. Flow Dates are generated for
+ * 	the Classical+, Classical-, "Aggressive", and "Conservative" Timeline Schemes. The References are:
+ *  
+ *  - 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, eSSRN.
+ *  
+ *  - 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, eSSRN.
+ *  
+ *  - 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, eSSRN.
+ *  
+ *  - BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives,
+ *  	https://www.bis.org/bcbs/publ/d317.pdf.
+ *  
+ *  - Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties, Journal of Credit
+ *  	Risk, 5 (4) 3-27.
+ * 
+ * @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.clientMargin() + " | " +
+			csaFlowDatesClassicalMinus.clientMargin() + " | " +
+			csaFlowDatesAggressive.clientMargin() + " | " +
+			csaFlowDatesConservative.clientMargin() + " ||"
+		);
+
+		System.out.println (
+			"\t| Dealer Margin Flow Date => OBSERVATION | " +
+			csaFlowDatesClassicalPlus.dealerMargin() + " | " +
+			csaFlowDatesClassicalMinus.dealerMargin() + " | " +
+			csaFlowDatesAggressive.dealerMargin() + " | " +
+			csaFlowDatesConservative.dealerMargin() + " ||"
+		);
+
+		System.out.println (
+			"\t| Client Trade Flow Date  => SETTLEMENT  | " +
+			csaFlowDatesClassicalPlus.clientTrade() + " | " +
+			csaFlowDatesClassicalMinus.clientTrade() + " | " +
+			csaFlowDatesAggressive.clientTrade() + " | " +
+			csaFlowDatesConservative.clientTrade() + " ||"
+		);
+
+		System.out.println (
+			"\t| Dealer Trade Flow Date  => SETTLEMENT  | " +
+			csaFlowDatesClassicalPlus.dealerTrade() + " | " +
+			csaFlowDatesClassicalMinus.dealerTrade() + " | " +
+			csaFlowDatesAggressive.dealerTrade() + " | " +
+			csaFlowDatesConservative.dealerTrade() + " ||"
+		);
+
+		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();
+	}
+}
diff --git a/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java
@@ -514,7 +514,7 @@ public static final void main (
 							)
 						)
 					),
-					new PositionGroupNumeraireFixFloat (maturityDate)
+					new FixFloatBaselDuration (maturityDate)
 				)
 			)
 		);

diff --git a/src/main/java/org/drip/sample/xvafixfloat/GoldPlatedBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/GoldPlatedBaselProxy.java
@@ -530,7 +530,7 @@ public static final void main (
 							)
 						)
 					),
-					new PositionGroupNumeraireFixFloat (maturityDate)
+					new FixFloatBaselDuration (maturityDate)
 				)
 			)
 		);

diff --git a/src/main/java/org/drip/sample/xvafixfloat/HedgeErrorBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/HedgeErrorBaselProxy.java
@@ -530,7 +530,7 @@ public static final void main (
 							)
 						)
 					),
-					new PositionGroupNumeraireFixFloat (maturityDate)
+					new FixFloatBaselDuration (maturityDate)
 				)
 			)
 		);

diff --git a/src/main/java/org/drip/sample/xvafixfloat/OneWayBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/OneWayBaselProxy.java
@@ -530,7 +530,7 @@ public static final void main (
 							)
 						)
 					),
-					new PositionGroupNumeraireFixFloat (maturityDate)
+					new FixFloatBaselDuration (maturityDate)
 				)
 			)
 		);

diff --git a/src/main/java/org/drip/sample/xvafixfloat/SemiReplicationBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/SemiReplicationBaselProxy.java
@@ -530,7 +530,7 @@ public static final void main (
 							)
 						)
 					),
-					new PositionGroupNumeraireFixFloat (maturityDate)
+					new FixFloatBaselDuration (maturityDate)
 				)
 			)
 		);

diff --git a/src/main/java/org/drip/sample/xvafixfloat/SetOffBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/SetOffBaselProxy.java
@@ -530,7 +530,7 @@ public static final void main (
 							)
 						)
 					),
-					new PositionGroupNumeraireFixFloat (maturityDate)
+					new FixFloatBaselDuration (maturityDate)
 				)
 			)
 		);
-Original file line number
+Diff line change
@@ Expand Up / @@ -514,7 +514,7 @@ public static final void main ( @@
     							)
     						)
     					),
-    					new PositionGroupNumeraireFixFloat (maturityDate)
+    					new FixFloatBaselDuration (maturityDate)
     				)
     			)
     		);
@@ Expand Down @@