Package org.drip.exposure.evolver

Class EntityDynamicsContainer

java.lang.Object

org.drip.exposure.evolver.DynamicsContainer

org.drip.exposure.evolver.EntityDynamicsContainer

public class EntityDynamicsContainer
extends DynamicsContainer

EntityDynamicsContainer contains the Dealer and the Client Hazard and Recovery Latent State Evolvers. The References are:

• 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 (2014): PDE Representations of Derivatives with Bilateral Counter- party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

• Module = Portfolio Core Module
• Library = Exposure Analytics
• Project = Exposure Group Level Collateralized/Uncollateralized Exposure
• Package = Securities and Exposure States Evolvers

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
EntityDynamicsContainer(TerminalLatentState dealerHazardLatentState, TerminalLatentState dealerSeniorRecoveryLatentState, TerminalLatentState dealerSubordinateRecoveryLatentState, TerminalLatentState clientHazardLatentState, TerminalLatentState clientRecoveryLatentState)	EntityDynamicsContainer Constructor

Method Summary

Modifier and Type	Method	Description
EntityHazardLabel	clientHazardLabel()	Retrieve the Client Hazard Label
DiffusionEvolver	clientHazardRateEvolver()	Retrieve the Client Hazard Rate Evolver
EntityRecoveryLabel	clientRecoveryLabel()	Retrieve the Client Recovery Label
DiffusionEvolver	clientRecoveryRateEvolver()	Retrieve the Client Recovery Rate Evolver
EntityHazardLabel	dealerHazardLabel()	Retrieve the Dealer Hazard Label
DiffusionEvolver	dealerHazardRateEvolver()	Retrieve the Dealer Hazard Rate Evolver
EntityRecoveryLabel	dealerSeniorRecoveryLabel()	Retrieve the Dealer Senior Recovery Label
DiffusionEvolver	dealerSeniorRecoveryRateEvolver()	Retrieve the Dealer Senior Recovery Rate Evolver
EntityRecoveryLabel	dealerSubordinateRecoveryLabel()	Retrieve the Dealer Subordinate Recovery Label
DiffusionEvolver	dealerSubordinateRecoveryRateEvolver()	Retrieve the Dealer Subordinate Recovery Rate Evolver

Methods inherited from class org.drip.exposure.evolver.DynamicsContainer

addPrimarySecurity, addScalingNumeraire, addTerminalLatentState, primarySecurity, primarySecurityExists, primarySecurityMap, scalingNumeraire, scalingNumeraireExists, scalingNumeraireMap, terminalLatentStateContainer, terminalLatentStateExists

Methods inherited from class java.lang.Object

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

Constructor Details

EntityDynamicsContainer

public EntityDynamicsContainer(TerminalLatentState dealerHazardLatentState,
TerminalLatentState dealerSeniorRecoveryLatentState,
TerminalLatentState dealerSubordinateRecoveryLatentState,
TerminalLatentState clientHazardLatentState,
TerminalLatentState clientRecoveryLatentState)
                        throws java.lang.Exception

EntityDynamicsContainer Constructor

Parameters:

dealerHazardLatentState - The Dealer Hazard Rate Latent State

dealerSeniorRecoveryLatentState - The Dealer Senior Recovery Rate Latent State

dealerSubordinateRecoveryLatentState - The Dealer Subordinate Rate Latent State

clientHazardLatentState - The Client Hazard Rate Latent State

clientRecoveryLatentState - The Client Recovery Rate Latent State

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

dealerHazardRateEvolver

public DiffusionEvolver dealerHazardRateEvolver()

Retrieve the Dealer Hazard Rate Evolver

Returns:

The Dealer Hazard Rate Evolver

dealerSeniorRecoveryRateEvolver

public DiffusionEvolver dealerSeniorRecoveryRateEvolver()

Retrieve the Dealer Senior Recovery Rate Evolver

Returns:

The Dealer Senior Recovery Rate Evolver

dealerSubordinateRecoveryRateEvolver

public DiffusionEvolver dealerSubordinateRecoveryRateEvolver()

Retrieve the Dealer Subordinate Recovery Rate Evolver

Returns:

The Dealer Subordinate Recovery Rate Evolver

clientHazardRateEvolver

public DiffusionEvolver clientHazardRateEvolver()

Retrieve the Client Hazard Rate Evolver

Returns:

The Client Hazard Rate Evolver

clientRecoveryRateEvolver

public DiffusionEvolver clientRecoveryRateEvolver()

Retrieve the Client Recovery Rate Evolver

Returns:

The Client Recovery Rate Evolver

clientHazardLabel

public EntityHazardLabel clientHazardLabel()

Retrieve the Client Hazard Label

Returns:

The Client Hazard Label

clientRecoveryLabel

public EntityRecoveryLabel clientRecoveryLabel()

Retrieve the Client Recovery Label

Returns:

The Client Recovery Label

dealerHazardLabel

public EntityHazardLabel dealerHazardLabel()

Retrieve the Dealer Hazard Label

Returns:

The Dealer Hazard Label

dealerSeniorRecoveryLabel

public EntityRecoveryLabel dealerSeniorRecoveryLabel()

Retrieve the Dealer Senior Recovery Label

Returns:

The Dealer Senior Recovery Label

dealerSubordinateRecoveryLabel

public EntityRecoveryLabel dealerSubordinateRecoveryLabel()

Retrieve the Dealer Subordinate Recovery Label

Returns:

The Dealer Subordinate Recovery Label