Package org.drip.exposure.csadynamics

Class NumeraireInducedMeasureShift

java.lang.Object
org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
public class NumeraireInducedMeasureShift
extends java.lang.Object
NumeraireInducedMeasureShift computes the Shift of the Forward Terminal Distribution between the Non-CSA and the CSA Cases. The References are:

  • Antonov, A., and M. Arneguy (2009): Analytical Formulas for Pricing CMS Products in the LIBOR Market Model with Stochastic Volatility https://papers.ssrn.com/sol3/Papers.cfm?abstract_id=1352606 eSSRN
  • Burgard, C., and M. Kjaer (2009): Modeling and successful Management of Credit Counter-party Risk of Derivative Portfolios ICBI Conference Rome
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Johannes, M., and S. Sundaresan (2007): Pricing Collateralized Swaps Journal of Finance 62 383-410
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    NumeraireInducedMeasureShift​(double csaForward, double noCSAForward, double terminalVariance)
    NumeraireInducedMeasureShift Constructor

  • Method Summary

    Modifier and Type Method Description
    double alpha0()
    Return the Constant Strike Coefficient of the Relative Measure Differential
    double alpha1()
    Return the Linear Strike Coefficient of the Relative Measure Differential
    double csaForward()
    Return the Value of the Forward Contract under CSA
    double densityRescale​(double k)
    Compute the No CSA/CSA Density Re-scaling using the Antonov and Arneguy (2009) Linear Proxy Approach
    double noCSAForward()
    Return the Value of the Forward Contract under No CSA Criterion
    double terminalVariance()
    Return the Terminal Variance of the Underlying

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • NumeraireInducedMeasureShift

      public NumeraireInducedMeasureShift​(double csaForward, double noCSAForward, double terminalVariance) throws java.lang.Exception
      NumeraireInducedMeasureShift Constructor
      Parameters:
      csaForward - The CSA Implied Forward Value
      noCSAForward - The No CSA Implied Forward Value
      terminalVariance - The Terminal Variance of the Underlying
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • csaForward

      public double csaForward()
      Return the Value of the Forward Contract under CSA
      Returns:
      The Value of the Forward Contract under CSA

    • noCSAForward

      public double noCSAForward()
      Return the Value of the Forward Contract under No CSA Criterion
      Returns:
      The Value of the Forward Contract under No CSA Criterion

    • terminalVariance

      public double terminalVariance()
      Return the Terminal Variance of the Underlying
      Returns:
      The Terminal Variance of the Underlying

    • alpha1

      public double alpha1()
      Return the Linear Strike Coefficient of the Relative Measure Differential
      Returns:
      The Linear Strike Coefficient of the Relative Measure Differential

    • alpha0

      public double alpha0()
      Return the Constant Strike Coefficient of the Relative Measure Differential
      Returns:
      The Constant Strike Coefficient of the Relative Measure Differential

    • densityRescale

      public double densityRescale​(double k) throws java.lang.Exception
      Compute the No CSA/CSA Density Re-scaling using the Antonov and Arneguy (2009) Linear Proxy Approach
      Parameters:
      k - The Strike at which the Density Re-scaling is Sought
      Returns:
      The No CSA/CSA Density Re-scaling using the Antonov and Arneguy (2009) Linear Proxy Approach
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid