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lakshmiDRIPlakshmiDRIP
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Features:
 - Collateral Group Variation Margin #1 (21, 22) - Collateral Group Variation Margin #2 (23, 24) - Collateral Group Variation Margin #3 (25, 26) - Collateral Group VM Posted #1 (27, 28) - Collateral Group VM Posted #2 (29, 30) Bug Fixes/Clean-up: - Stream Fix Float MPoR Packages (1, 2) - Collateral Group Anchor -> Vertex Date (31) - Albanese Andersen XVA Vertex Revamp (32) Samples: - OTC Receiver Classical+ Timeline #1 (3, 4) - OTC Receiver Classical+ Timeline #2 (5, 6) - OTC Receiver Classical- Timeline (7, 8) - OTC Receiver Aggressive Timeline (9, 10) - OTC Receiver Conservative Timeline (11, 12) - OTC Payer Classical+ Timeline (13, 14) - OTC Payer Classical- Timeline (15, 16) - OTC Payer Aggressive Timeline (17, 18) - OTC Payer Conservative Timeline (19, 20) - OTC Receiver Classical+ XVA #1 (33, 34) - OTC Receiver Classical+ XVA #2 (35, 36) - OTC Receiver Classical+ XVA #3 (37, 38) - OTC Receiver Classical+ XVA #4 (39, 40) - OTC Receiver Classical+ XVA #5 (41, 42) - OTC Receiver Classical+ XVA #6 (43, 44) - OTC Receiver Classical+ XVA #7 (45, 46) - OTC Receiver Classical+ XVA #8 (47, 48) - OTC Receiver Classical+ XVA #9 (49, 50) - OTC Receiver Classical+ XVA #10 (51, 52) - OTC Receiver Classical+ XVA #11 (53, 54) - OTC Receiver Classical+ XVA #12 (55, 56) - OTC Receiver Classical+ XVA #13 (57, 58) - OTC Receiver Classical+ XVA #14 (59, 60)
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‎ReleaseNotes/05_10_2018.txt

Lines changed: 42 additions & 0 deletions
Original file line numberDiff line numberDiff line change
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1+
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Features:
3+
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- Collateral Group Variation Margin #1 (21, 22)
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- Collateral Group Variation Margin #2 (23, 24)
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- Collateral Group Variation Margin #3 (25, 26)
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- Collateral Group VM Posted #1 (27, 28)
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- Collateral Group VM Posted #2 (29, 30)
9+
10+
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Bug Fixes/Clean-up:
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- Stream Fix Float MPoR Packages (1, 2)
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- Collateral Group Anchor -> Vertex Date (31)
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- Albanese Andersen XVA Vertex Revamp (32)
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17+
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Samples:
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- OTC Receiver Classical+ Timeline #1 (3, 4)
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- OTC Receiver Classical+ Timeline #2 (5, 6)
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- OTC Receiver Classical- Timeline (7, 8)
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- OTC Receiver Aggressive Timeline (9, 10)
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- OTC Receiver Conservative Timeline (11, 12)
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- OTC Payer Classical+ Timeline (13, 14)
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- OTC Payer Classical- Timeline (15, 16)
27+
- OTC Payer Aggressive Timeline (17, 18)
28+
- OTC Payer Conservative Timeline (19, 20)
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- OTC Receiver Classical+ XVA #1 (33, 34)
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- OTC Receiver Classical+ XVA #2 (35, 36)
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- OTC Receiver Classical+ XVA #3 (37, 38)
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- OTC Receiver Classical+ XVA #4 (39, 40)
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- OTC Receiver Classical+ XVA #5 (41, 42)
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- OTC Receiver Classical+ XVA #6 (43, 44)
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- OTC Receiver Classical+ XVA #7 (45, 46)
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- OTC Receiver Classical+ XVA #8 (47, 48)
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- OTC Receiver Classical+ XVA #9 (49, 50)
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- OTC Receiver Classical+ XVA #10 (51, 52)
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- OTC Receiver Classical+ XVA #11 (53, 54)
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- OTC Receiver Classical+ XVA #12 (55, 56)
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- OTC Receiver Classical+ XVA #13 (57, 58)
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- OTC Receiver Classical+ XVA #14 (59, 60)

‎src/main/java/org/drip/exposure/generator/FloatStreamMPoR.java

Lines changed: 10 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -113,13 +113,14 @@ public FloatStreamMPoR (
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continue;
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}
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org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
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(org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0);
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/* org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
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(org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0); */
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variationMarginEstimate += period.couponDCF() *
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period.notional (periodEndDate) *
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marketPath.marketVertex
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(composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() *
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marketPath.marketVertex (period.startDate()).positionManifestValue() *
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/* marketPath.marketVertex
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(composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() * */
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period.couponFactor (periodEndDate) *
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overnightReplicatorForward /
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marketPath.marketVertex (period.payDate()).overnightReplicator();
@@ -147,16 +148,17 @@ public FloatStreamMPoR (
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{
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int periodEndDate = period.endDate();
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org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
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(org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0);
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/* org.drip.analytics.cashflow.ComposableUnitFloatingPeriod composableUnitFloatingPeriod =
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(org.drip.analytics.cashflow.ComposableUnitFloatingPeriod) period.periods().get (0); */
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try
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{
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return org.drip.exposure.mpor.TradePayment.Standard (
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notional() * period.couponDCF() *
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period.notional (periodEndDate) *
158-
marketPath.marketVertex
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(composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() *
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marketPath.marketVertex (period.startDate()).positionManifestValue() *
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/* marketPath.marketVertex
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(composableUnitFloatingPeriod.referenceIndexPeriod().fixingDate()).positionManifestValue() * */
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period.couponFactor (periodEndDate) *
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overnightReplicatorForward /
162164
marketPath.marketVertex (period.payDate()).overnightReplicator()

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