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ClClassicalMprExposureSimulationData.cs. Any downloads from this site are subject to ModVal license.
Class ClClassicalMprExposureSimulationBuilder
Classical model for the margin period of risk assumes that for the early termination date (ETD) of \(t\), the last date for which margin flow was completed as prescribed is \(t-\delta\). After that neither party pays margin flows.\ The payment or non-payment of trade flows is determined by the model parameter TradeFlowAssumption.
Property UnderlyingExposure
Underlying trade exposure to which the model is applied.
public IClTradeExposure UnderlyingExposure { get; set; }Property Delta
Length of the margin period of risk in the classical model defined as the number of days between the last observation date for which margin flow was completed as prescribed, and the Early Termination Date (ETD), also known as the closeout date.
public ClDouble Delta { get; set; } Property TradeFlowsPaid
Indicates if the model assumes that trade flows are paid or not paid during MPR.
public ClBool TradeFlowsPaid { get; set; }