Package org.drip.exposure.evolver

Class DynamicsContainer

java.lang.Object
org.drip.exposure.evolver.DynamicsContainer
Direct Known Subclasses:
EntityDynamicsContainer, PrimarySecurityDynamicsContainer
public class DynamicsContainer
extends java.lang.Object
DynamicsContainer holds the Dynamics of the Economy with the following Traded Assets - the Numeraire Evolver Dynamics, the Terminal Latent State Evolver Dynamics, and the Primary Security Evolver Dynamics. The References are:

  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 eSSRN
  • Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies Risk 23 (12) 82-87
  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  • Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • DynamicsContainer

      public DynamicsContainer()
      Empty DynamicsContainer Constructor

  • Method Details

    • scalingNumeraireMap

      public java.util.Map<java.lang.String,​ScalingNumeraire> scalingNumeraireMap()
      Retrieve the Scaling Numeraire Evolver Dynamics Settings Map
      Returns:
      The Scaling Numeraire Evolver Dynamics Settings Map

    • addScalingNumeraire

      public boolean addScalingNumeraire​(java.lang.String numeraireName, ScalingNumeraire numeraire)
      Add the Named Scaling Numeraire
      Parameters:
      numeraireName - Name of the Scaling Numeraire
      numeraire - Scaling Numeraire Instance
      Returns:
      TRUE - The Scaling Numeraire Successfully added

    • scalingNumeraireExists

      public boolean scalingNumeraireExists​(java.lang.String numeraireName)
      Indicate if the Scaling Numeraire Exists
      Parameters:
      numeraireName - The Scaling Numeraire Name
      Returns:
      TRUE - The Scaling Numeraire Exists

    • scalingNumeraire

      public ScalingNumeraire scalingNumeraire​(java.lang.String numeraireName)
      Retrieve the Scaling Numeraire
      Parameters:
      numeraireName - The Scaling Numeraire Name
      Returns:
      The Scaling Numeraire

    • terminalLatentStateContainer

      public LatentStateDynamicsContainer terminalLatentStateContainer()
      Retrieve the Terminal Latent State Evolver Dynamics Settings Map
      Returns:
      The Terminal Latent State Evolver Dynamics Settings Map

    • addTerminalLatentState

      public boolean addTerminalLatentState​(TerminalLatentState terminalLatentState)
      Add the Terminal Latent State
      Parameters:
      terminalLatentState - The Terminal Latent State
      Returns:
      TRUE - The Terminal Latent State successfully added

    • terminalLatentStateExists

      public boolean terminalLatentStateExists​(LatentStateLabel label)
      Indicate if the Terminal Latent State Exists
      Parameters:
      label - The Terminal Latent State Label
      Returns:
      TRUE - The Terminal Latent State Exists

    • primarySecurityMap

      public java.util.Map<java.lang.String,​PrimarySecurity> primarySecurityMap()
      Retrieve the Primary Security Evolver Dynamics Settings Map
      Returns:
      The Primary Security Evolver Dynamics Settings Map

    • addPrimarySecurity

      public boolean addPrimarySecurity​(PrimarySecurity primarySecurity)
      Add the Specified Primary Security Instance
      Parameters:
      primarySecurity - The Primary Security
      Returns:
      TRUE - The Primary Security Successfully Added

    • primarySecurityExists

      public boolean primarySecurityExists​(java.lang.String id)
      Indicate if the Primary Security Evolver exists in the Container
      Parameters:
      id - The Primary Security ID
      Returns:
      TRUE - The Primary Security Evolver exists in the Container

    • primarySecurity

      public PrimarySecurity primarySecurity​(java.lang.String id)
      Retrieve the Primary Security Evolver given the Label
      Parameters:
      id - The Primary Security ID
      Returns:
      The Primary Security Evolver