CollateralAgreement

A variation-margin CSA: a threshold below which no collateral is called, a minimum transfer amount, an independent amount held, and a margin period of risk. ExposureSimulation applies it on the tape — collateral posted against the netting-set value as of marginPeriodOfRiskDays earlier is subtracted from the current value, so the collateralised exposure is max(V(t) - C(t - MPoR) - independentAmount, 0).

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Record components

threshold: double
minimumTransfer: double
independentAmount: double
marginPeriodOfRiskDays: double

Methods

static CollateralAgreement uncollateralised()

No collateral: an infinite threshold.

static CollateralAgreement dailyMargined(double independentAmount)

A daily-margined CSA with a zero threshold and a ten-day MPoR.

boolean isCollateralised()

int marginPeriodSteps(double stepYears)

Number of grid steps in the margin period of risk, at least one.