Features:

	- CSA Enforced Stream Path Exposures (1)
	- Client To Dealer Trade Payment (7, 8)
	- Float Coupon Stream Shell Skeleton (29, 30)
	- Float Coupon Stream VM Trade (31, 32)


Bug Fixes/Clean-up:

	- MPoR To Calibration To Timeline (41, 42)
	- Float Coupon Stream Fix #1 (49, 50)
	- Float Coupon Stream Fix #2 (51, 52)


Samples:

	- Fixed Coupon Classical Plus MPoR (2)
	- Classical+ Positive Exposure #1 (3, 4)
	- Classical+ Positive Exposure #2 (5, 6)
	- Classical+ Collateralized Exposure #1 (9, 10)
	- Classical+ Collateralized Exposure #2 (11, 12)
	- Classical+ Collateralized Positive Exposure #1 (13, 14)
	- Classical+ Collateralized Positive Exposure #2 (15, 16)
	- Variation Margin Gap #1 (17, 18)
	- Variation Margin Gap #2 (19, 20)
	- Classical+ Positive Exposure #3 (21)
	- Fixed Coupon Classical Minus MPoR (22, 23)
	- Long/Short Stream APS2017 MPoR (24)
	- Long Fixed Aggressive MPoR (25, 26)
	- Long Fixed Conservative MPoR (27, 28)
	- Short Fixed Classical+ MPoR (33, 34)
	- Short Fixed Classical- MPoR (35, 36)
	- Short Fixed Aggressive MPoR (37, 38)
	- Short Fixed Conservative MPoR (39, 40)
	- Long Float Classical Plus Time #1 (43, 44)
	- Long Float Classical Plus Time #2 (45, 46)
	- Long Float Classical Plus Time #3 (47, 48)
	- Long Float Classical Plus Time #4 (53, 54)
	- Long Float Classical Plus Time #5 (55, 56)
	- Long Float Classical Plus Time #6 (57, 58)
	- Long Float Classical Plus Time #7 (59, 60)

ReleaseNotes/05_07_2018.txt

@@ -0,0 +1,43 @@
+
+Features:
+
+ - CSA Enforced Stream Path Exposures (1)
+ - Client To Dealer Trade Payment (7, 8)
+ - Float Coupon Stream Shell Skeleton (29, 30)
+ - Float Coupon Stream VM Trade (31, 32)
+
+
+Bug Fixes/Clean-up:
+
+ - MPoR To Calibration To Timeline (41, 42)
+ - Float Coupon Stream Fix #1 (49, 50)
+ - Float Coupon Stream Fix #2 (51, 52)
+
+
+Samples:
+
+ - Fixed Coupon Classical Plus MPoR (2)
+ - Classical+ Positive Exposure #1 (3, 4)
+ - Classical+ Positive Exposure #2 (5, 6)
+ - Classical+ Collateralized Exposure #1 (9, 10)
+ - Classical+ Collateralized Exposure #2 (11, 12)
+ - Classical+ Collateralized Positive Exposure #1 (13, 14)
+ - Classical+ Collateralized Positive Exposure #2 (15, 16)
+ - Variation Margin Gap #1 (17, 18)
+ - Variation Margin Gap #2 (19, 20)
+ - Classical+ Positive Exposure #3 (21)
+ - Fixed Coupon Classical Minus MPoR (22, 23)
+ - Long/Short Stream APS2017 MPoR (24)
+ - Long Fixed Aggressive MPoR (25, 26)
+ - Long Fixed Conservative MPoR (27, 28)
+ - Short Fixed Classical+ MPoR (33, 34)
+ - Short Fixed Classical- MPoR (35, 36)
+ - Short Fixed Aggressive MPoR (37, 38)
+ - Short Fixed Conservative MPoR (39, 40)
+ - Long Float Classical Plus Time #1 (43, 44)
+ - Long Float Classical Plus Time #2 (45, 46)
+ - Long Float Classical Plus Time #3 (47, 48)
+ - Long Float Classical Plus Time #4 (53, 54)
+ - Long Float Classical Plus Time #5 (55, 56)
+ - Long Float Classical Plus Time #6 (57, 58)
+ - Long Float Classical Plus Time #7 (59, 60)

src/main/java/org/drip/exposure/mpor/FixedCouponStream.java

@@ -74,7 +74,7 @@ public class FixedCouponStream implements org.drip.exposure.mpor.MarginTradeVert
  private org.drip.product.rates.Stream _stream = null;
 
  /**
- * FixedCoupon Constructor
+ * FixedCouponStream Constructor
  * 
  * @param stream The Fixed Coupon Stream Instance
  * @param notional The Fixed Coupon Stream Notional
@@ -104,6 +104,11 @@ public FixedCouponStream (
  throw new java.lang.Exception ("FixedCouponStream::variationMarginEstimate => Invalid Inputs");
  }
 
+ if (forwardDate <= _stream.effective().julian() || forwardDate >= _stream.maturity().julian())
+ {
+ return 0.;
+ }
+
  double variationMarginEstimate = 0.;
 
  double overnightReplicatorForward = marketPath.marketVertex (forwardDate).overnightReplicator();

src/main/java/org/drip/exposure/mpor/FloatCouponStream.java

@@ -0,0 +1,190 @@
+
+package org.drip.exposure.mpor;
+
+/*
+ * -*- 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.
+ */
+
+/**
+ * FloatCouponStream estimates the Variation Margin and the Trade Payments for the given Float Coupon Stream
+ * off of the Realized Market Path. 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.
+ * 
+ * - Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
+ * Re-Hypothecation Option, eSSRN, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955.
+ * 
+ * - Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting, eSSRN,
+ * https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011.
+ * 
+ * - Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing, Risk
+ * 21 (2) 97-102.
+ * 
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class FloatCouponStream implements org.drip.exposure.mpor.MarginTradeVertex
+{
+ private double _notional = java.lang.Double.NaN;
+ private org.drip.product.rates.Stream _stream = null;
+
+ /**
+ * FloatCouponStream Constructor
+ * 
+ * @param stream The Fixed Coupon Stream Instance
+ * @param notional The Fixed Coupon Stream Notional
+ * 
+ * @throws java.lang.Exception Thrown if the Inputs are Invalid
+ */
+
+ public FloatCouponStream (
+ final org.drip.product.rates.Stream stream,
+ final double notional)
+ throws java.lang.Exception
+ {
+ if (null == (_stream = stream) ||
+ !org.drip.quant.common.NumberUtil.IsValid (_notional = notional))
+ {
+ throw new java.lang.Exception ("FloatCouponStream Constructor => Invalid Inputs");
+ }
+ }
+
+ @Override public double variationMarginEstimate (
+ final int forwardDate,
+ final org.drip.exposure.universe.MarketPath marketPath)
+ throws java.lang.Exception
+ {
+ if (null == marketPath)
+ {
+ throw new java.lang.Exception ("FloatCouponStream::variationMarginEstimate => Invalid Inputs");
+ }
+
+ if (forwardDate <= _stream.effective().julian() || forwardDate >= _stream.maturity().julian())
+ {
+ return 0.;
+ }
+
+ double variationMarginEstimate = 0.;
+
+ double overnightReplicatorForward = marketPath.marketVertex (forwardDate).overnightReplicator();
+
+ for (org.drip.analytics.cashflow.CompositePeriod period : _stream.periods())
+ {
+ int periodEndDate = period.endDate();
+
+ if (periodEndDate < forwardDate)
+ {
+ continue;
+ }
+
+ org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
+ (org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0);
+
+ variationMarginEstimate += period.couponDCF() *
+ period.notional (periodEndDate) *
+ marketPath.marketVertex
+ (composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() *
+ period.couponFactor (periodEndDate) *
+ overnightReplicatorForward /
+ marketPath.marketVertex (period.payDate()).overnightReplicator();
+ }
+
+ return variationMarginEstimate * _notional;
+ }
+
+ @Override public org.drip.exposure.mpor.TradePayment tradePayment (
+ final int forwardDate,
+ final org.drip.exposure.universe.MarketPath marketPath)
+ {
+ if (null == marketPath)
+ {
+ return null;
+ }
+
+ if (forwardDate < _stream.effective().julian() || forwardDate > _stream.maturity().julian())
+ {
+ return org.drip.exposure.mpor.TradePayment.Standard (0.);
+ }
+
+ double overnightReplicatorForward = marketPath.marketVertex (forwardDate).overnightReplicator();
+
+ for (org.drip.analytics.cashflow.CompositePeriod period : _stream.periods())
+ {
+ int periodPayDate = period.payDate();
+
+ if (periodPayDate == forwardDate)
+ {
+ int periodEndDate = period.endDate();
+
+ org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
+ (org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0);
+
+ try
+ {
+ return org.drip.exposure.mpor.TradePayment.Standard (
+ _notional * period.couponDCF() *
+ period.notional (periodEndDate) *
+ marketPath.marketVertex
+ (composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() *
+ period.couponFactor (periodEndDate) *
+ overnightReplicatorForward /
+ marketPath.marketVertex (period.payDate()).overnightReplicator()
+ );
+ }
+ catch (java.lang.Exception e)
+ {
+ e.printStackTrace();
+
+ return null;
+ }
+ }
+ }
+
+ return org.drip.exposure.mpor.TradePayment.Standard (0.);
+ }
+}

src/main/java/org/drip/exposure/mpor/MarginTradeVertexExposure.java

@@ -70,10 +70,10 @@
 
 public class MarginTradeVertexExposure
 {
- private double _netTradePaymentGap = java.lang.Double.NaN;
  private double _clientTradePaymentGap = java.lang.Double.NaN;
  private double _variationMarginPosting = java.lang.Double.NaN;
  private double _variationMarginEstimate = java.lang.Double.NaN;
+ private double _clientDealerTradePaymentGap = java.lang.Double.NaN;
  private org.drip.exposure.csatimeline.LastFlowDates _lastFlowDates = null;
 
  /**
@@ -83,7 +83,7 @@ public class MarginTradeVertexExposure
  * @param variationMarginPosting The Actual Variation Margin Posted from Collateral Rules and Operational
  * Delays
  * @param clientTradePaymentGap The Client Trade Payment Gap
- * @param netTradePaymentGap The Net Trade Payment Gap
+ * @param clientDealerTradePaymentGap The Client-to-Dealer Net Trade Payment Gap
  * @param lastFlowDates The Last Flow Dates
  * 
  * @throws java.lang.Exception Thrown if the Inputs are Invalid
@@ -93,14 +93,15 @@ public MarginTradeVertexExposure (
  final double variationMarginEstimate,
  final double variationMarginPosting,
  final double clientTradePaymentGap,
- final double netTradePaymentGap,
+ final double clientDealerTradePaymentGap,
  final org.drip.exposure.csatimeline.LastFlowDates lastFlowDates)
  throws java.lang.Exception
  {
  if (!org.drip.quant.common.NumberUtil.IsValid (_variationMarginEstimate = variationMarginEstimate) ||
  !org.drip.quant.common.NumberUtil.IsValid (_variationMarginPosting = variationMarginPosting) ||
  !org.drip.quant.common.NumberUtil.IsValid (_clientTradePaymentGap = clientTradePaymentGap) ||
- !org.drip.quant.common.NumberUtil.IsValid (_netTradePaymentGap = netTradePaymentGap) ||
+ !org.drip.quant.common.NumberUtil.IsValid (_clientDealerTradePaymentGap =
+ clientDealerTradePaymentGap) ||
  null == (_lastFlowDates = lastFlowDates))
  {
  throw new java.lang.Exception ("MarginTradeVertexExposure Constructor => Invalid Inputs");
@@ -129,6 +130,17 @@ public double variationMarginPosting()
  return _variationMarginPosting;
  }
 
+ /**
+ * Retrieve the Variation Margin Gap
+ * 
+ * @return The Variation Margin Gap
+ */
+
+ public double variationMarginGap()
+ {
+ return _variationMarginEstimate - _variationMarginPosting;
+ }
+
  /**
  * Retrieve the Client Trade Payment Gap
  * 
@@ -141,14 +153,14 @@ public double clientTradePaymentGap()
  }
 
  /**
- * Retrieve the Net Trade Payment Gap
+ * Retrieve the Client-to-Dealer Net Trade Payment Gap
  * 
- * @return The Net Trade Payment Gap
+ * @return The Client-to-Dealer Net Trade Payment Gap
  */
 
- public double netTradePaymentGap()
+ public double clientDealerTradePaymentGap()
  {
- return _netTradePaymentGap;
+ return _clientDealerTradePaymentGap;
  }
 
  /**
@@ -159,7 +171,32 @@ public double netTradePaymentGap()
 
  public double tradePaymentGap()
  {
- return _clientTradePaymentGap + _netTradePaymentGap;
+ return _clientTradePaymentGap + _clientDealerTradePaymentGap;
+ }
+
+ /**
+ * Retrieve the Collateralized Exposure
+ * 
+ * @return The Collateralized Exposure
+ */
+
+ public double collateralizedExposure()
+ {
+ return _variationMarginEstimate + _clientTradePaymentGap + _clientDealerTradePaymentGap -
+ _variationMarginPosting;
+ }
+
+ /**
+ * Retrieve the Collateralized Positive Exposure
+ * 
+ * @return The Collateralized Positive Exposure
+ */
+
+ public double collateralizedPositiveExposure()
+ {
+ double collateralizedExposure = collateralizedExposure();
+
+ return collateralizedExposure > 0. ? collateralizedExposure : 0.;
  }
 
  /**