Class SettlementRiskAnalyzer

java.lang.Object

com.quantfinlib.risk.SettlementRiskAnalyzer

public final class SettlementRiskAnalyzer
extends Object

Settlement (Herstatt) risk: the exposure created when you pay away one currency before receiving the other leg. Named for Bankhaus Herstatt (1974), which was closed after receiving DEM but before paying out USD.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	SettlementRiskAnalyzer.SettlementLeg	One settlement instruction pair: we pay one leg and receive the other.

Method Summary

Modifier and Type	Method	Description
static Map<String,Double>	herstattExposure(List<SettlementRiskAnalyzer.SettlementLeg> legs)	Total at-risk receive amounts per counterparty: sum of legs where payment goes out before the countervalue arrives.
static double	peakExposure(List<SettlementRiskAnalyzer.SettlementLeg> legs, String counterparty)	Peak intraday settlement exposure to one counterparty: the maximum total receive-amount outstanding (paid but not yet received) at any point in time.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

herstattExposure

public static Map<String,Double> herstattExposure(List<SettlementRiskAnalyzer.SettlementLeg> legs)

Total at-risk receive amounts per counterparty: sum of legs where payment goes out before the countervalue arrives.

peakExposure

public static double peakExposure(List<SettlementRiskAnalyzer.SettlementLeg> legs,
 String counterparty)

Peak intraday settlement exposure to one counterparty: the maximum total receive-amount outstanding (paid but not yet received) at any point in time.