Package org.drip.exposure.evolver

Class Equity

java.lang.Object
org.drip.exposure.evolver.ScalingNumeraire
org.drip.exposure.evolver.TerminalLatentState
org.drip.exposure.evolver.PrimarySecurity
org.drip.exposure.evolver.Equity
public class Equity
extends PrimarySecurity
Equity describes a Tradeable Equity. The References are:

  • 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
  • Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    Equity​(java.lang.String id, LatentStateLabel label, DiffusionEvolver evolver, double dblRepoRate, double dividendRate)
    Equity Constructor

  • Method Summary

    Modifier and Type Method Description
    double cashAccumulationRate()
    Retrieve the Cash Accumulation Rate
    double dividendRate()
    Retrieve the Equity Dividend Rate

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

    id, isRepoable, repoRate

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

    label

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

    evolver

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • Equity

      public Equity​(java.lang.String id, LatentStateLabel label, DiffusionEvolver evolver, double dblRepoRate, double dividendRate) throws java.lang.Exception
      Equity Constructor
      Parameters:
      id - The Security ID
      label - The Latent State Label
      evolver - The Equity Price Evolver
      dblRepoRate - The Equity Repo Rate
      dividendRate - The Equity Dividend Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • dividendRate

      public double dividendRate()
      Retrieve the Equity Dividend Rate
      Returns:
      The Equity Dividend Rate

    • cashAccumulationRate

      public double cashAccumulationRate()
      Description copied from class: PrimarySecurity
      Retrieve the Cash Accumulation Rate
      Overrides:
      cashAccumulationRate in class PrimarySecurity
      Returns:
      The Cash Accumulation Rate