Package org.drip.exposure.evolver

Class LatentStateDynamicsContainer

java.lang.Object
org.drip.exposure.evolver.LatentStateDynamicsContainer
public class LatentStateDynamicsContainer
extends java.lang.Object
LatentStateDynamicsContainer holds the Latent State Labels for a variety of Latent States and their 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


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • LatentStateDynamicsContainer

      public LatentStateDynamicsContainer()
      Empty LatentStateDynamicsContainer Constructor

  • Method Details

    • entityEquityMap

      public java.util.Map<java.lang.String,​TerminalLatentState> entityEquityMap()
      Retrieve the Equity Evolver Map
      Returns:
      The Equity Evolver Map

    • addEntityEquity

      public boolean addEntityEquity​(TerminalLatentState terminalLatentState)
      Add the Entity Equity Latent State Evolver
      Parameters:
      terminalLatentState - The Equity Entity Terminal Latent State
      Returns:
      TRUE - The Entity Equity Latent Successfully added

    • entityEquityExists

      public boolean entityEquityExists​(EntityEquityLabel entityEquityLabel)
      Indicate if the Entity Equity Latent State Exists
      Parameters:
      entityEquityLabel - The Entity Equity Latent State Label
      Returns:
      TRUE - The Entity Equity Latent State Exists

    • entityEquity

      public TerminalLatentState entityEquity​(EntityEquityLabel entityEquityLabel)
      Retrieve the Entity Equity Latent State
      Parameters:
      entityEquityLabel - The Entity Equity Latent State Label
      Returns:
      The Entity Equity Latent State

    • fundingMap

      public java.util.Map<java.lang.String,​TerminalLatentState> fundingMap()
      Retrieve the Funding Evolver Map
      Returns:
      The Funding Evolver Map

    • addFunding

      public boolean addFunding​(TerminalLatentState terminalLatentState)
      Add the Funding Latent State Evolver
      Parameters:
      terminalLatentState - The Funding Terminal Latent State
      Returns:
      TRUE - The Funding Latent State Successfully added

    • fundingExists

      public boolean fundingExists​(FundingLabel fundingLabel)
      Indicate if the Funding Latent State Exists
      Parameters:
      fundingLabel - The Funding Latent State Label
      Returns:
      TRUE - The Funding Latent State Exists

    • funding

      public TerminalLatentState funding​(FundingLabel fundingLabel)
      Retrieve the Funding Latent State
      Parameters:
      fundingLabel - The Funding Latent State Label
      Returns:
      The Funding Latent State

    • govvieMap

      public java.util.Map<java.lang.String,​TerminalLatentState> govvieMap()
      Retrieve the Govvie Evolver Map
      Returns:
      The Govvie Evolver Map

    • addGovvie

      public boolean addGovvie​(TerminalLatentState terminalLatentState)
      Add the Govvie Latent State Evolver
      Parameters:
      terminalLatentState - The Govvie Terminal Latent State
      Returns:
      TRUE - The Govvie Latent State Successfully added

    • govvieExists

      public boolean govvieExists​(GovvieLabel govvieLabel)
      Indicate if the Govvie Latent State Exists
      Parameters:
      govvieLabel - The Govvie Latent State Label
      Returns:
      TRUE - The Govvie Latent State Exists

    • govvie

      public TerminalLatentState govvie​(GovvieLabel govvieLabel)
      Retrieve the Govvie Latent State
      Parameters:
      govvieLabel - The Govvie Latent State Label
      Returns:
      The Govvie Latent State

    • fxMap

      public java.util.Map<java.lang.String,​TerminalLatentState> fxMap()
      Retrieve the FX Evolver Map
      Returns:
      The FX Evolver Map

    • addFX

      public boolean addFX​(TerminalLatentState terminalLatentState)
      Add the FX Latent State Evolver
      Parameters:
      terminalLatentState - The FX Terminal Latent State
      Returns:
      TRUE - The FX Latent State Successfully added

    • fxExists

      public boolean fxExists​(FXLabel fxLabel)
      Indicate if the FX Latent State Exists
      Parameters:
      fxLabel - The FX Latent State Label
      Returns:
      TRUE - The FX Latent State Exists

    • fx

      public TerminalLatentState fx​(FXLabel fxLabel)
      Retrieve the FX Latent State
      Parameters:
      fxLabel - The FX Latent State Label
      Returns:
      The FX Latent State

    • forwardMap

      public java.util.Map<java.lang.String,​TerminalLatentState> forwardMap()
      Retrieve the Forward Evolver Map
      Returns:
      The Forward Evolver Map

    • addForward

      public boolean addForward​(TerminalLatentState terminalLatentState)
      Add the Forward Latent State Evolver
      Parameters:
      terminalLatentState - The Forward Terminal Latent State
      Returns:
      TRUE - The Forward Latent State Successfully added

    • forwardExists

      public boolean forwardExists​(ForwardLabel forwardLabel)
      Indicate if the Forward Latent State Exists
      Parameters:
      forwardLabel - The Forward Latent State Label
      Returns:
      TRUE - The Forward Latent State Exists

    • forward

      public TerminalLatentState forward​(ForwardLabel forwardLabel)
      Retrieve the Forward Latent State
      Parameters:
      forwardLabel - The Forward Latent State Label
      Returns:
      The Forward Latent State

    • otcFixFloatMap

      public java.util.Map<java.lang.String,​TerminalLatentState> otcFixFloatMap()
      Retrieve the OTC Fix Float Evolver Map
      Returns:
      The OTC Fix Float Evolver Map

    • addOTCFixFloat

      public boolean addOTCFixFloat​(TerminalLatentState terminalLatentState)
      Add the OTC Fix Float Latent State Evolver
      Parameters:
      terminalLatentState - The OTC Fix Float Terminal Latent State
      Returns:
      TRUE - The OTC Fix Float Latent State Successfully added

    • otcFixFloatExists

      public boolean otcFixFloatExists​(OTCFixFloatLabel otcFixFloatLabel)
      Indicate if the OTC Fix Float Latent State Exists
      Parameters:
      otcFixFloatLabel - The OTC Fix Float Latent State Label
      Returns:
      TRUE - The OTC Fix Float Latent State Exists

    • otcFixFloat

      public TerminalLatentState otcFixFloat​(OTCFixFloatLabel otcFixFloatLabel)
      Retrieve the OTC Fix Float Latent State
      Parameters:
      otcFixFloatLabel - The OTC Fix Float Latent State Label
      Returns:
      The OTC Fix Float Latent State

    • overnightMap

      public java.util.Map<java.lang.String,​TerminalLatentState> overnightMap()
      Retrieve the Overnight Evolver Map
      Returns:
      The Overnight Evolver Map

    • addOvernight

      public boolean addOvernight​(TerminalLatentState terminalLatentState)
      Add the Overnight Latent State Evolver
      Parameters:
      terminalLatentState - The Overnight Terminal Latent State
      Returns:
      TRUE - The Overnight Latent State Successfully added

    • overnightExists

      public boolean overnightExists​(OvernightLabel overnightLabel)
      Indicate if the Overnight Latent State Exists
      Parameters:
      overnightLabel - The Overnight Latent State Label
      Returns:
      TRUE - The Overnight Latent State Exists

    • overnight

      public TerminalLatentState overnight​(OvernightLabel overnightLabel)
      Retrieve the Overnight Latent State
      Parameters:
      overnightLabel - The Overnight Latent State Label
      Returns:
      The Overnight Latent State

    • collateralMap

      public java.util.Map<java.lang.String,​TerminalLatentState> collateralMap()
      Retrieve the Collateral Evolver Map
      Returns:
      The Collateral Evolver Map

    • addCollateral

      public boolean addCollateral​(TerminalLatentState terminalLatentState)
      Add the Collateral Latent State Evolver
      Parameters:
      terminalLatentState - The Collateral Terminal Latent State
      Returns:
      TRUE - The Collateral Latent State Successfully added

    • collateralExists

      public boolean collateralExists​(CollateralLabel collateralLabel)
      Indicate if the Collateral Latent State Exists
      Parameters:
      collateralLabel - The Collateral Latent State Label
      Returns:
      TRUE - The Collateral Latent State Exists

    • collateral

      public TerminalLatentState collateral​(CollateralLabel collateralLabel)
      Retrieve the Collateral Latent State
      Parameters:
      collateralLabel - The Collateral Latent State Label
      Returns:
      The Collateral Latent State

    • csaMap

      public java.util.Map<java.lang.String,​TerminalLatentState> csaMap()
      Retrieve the CSA Evolver Map
      Returns:
      The CSA Evolver Map

    • addCSA

      public boolean addCSA​(TerminalLatentState terminalLatentState)
      Add the CSA Latent State Evolver
      Parameters:
      terminalLatentState - The CSA Terminal Latent State
      Returns:
      TRUE - The CSA Latent State Successfully added

    • csaExists

      public boolean csaExists​(CSALabel csaLabel)
      Indicate if the CSA Latent State Exists
      Parameters:
      csaLabel - The CSA Latent State Label
      Returns:
      TRUE - The CSA Latent State Exists

    • csa

      public TerminalLatentState csa​(CSALabel csaLabel)
      Retrieve the CSA Latent State
      Parameters:
      csaLabel - The CSA Latent State Label
      Returns:
      The CSA Latent State

    • entityHazardMap

      public java.util.Map<java.lang.String,​TerminalLatentState> entityHazardMap()
      Retrieve the Entity Hazard Evolver Map
      Returns:
      The Entity Hazard Evolver Map

    • addEntityHazard

      public boolean addEntityHazard​(TerminalLatentState terminalLatentState)
      Add the Entity Hazard Latent State Evolver
      Parameters:
      terminalLatentState - The Entity Hazard Terminal Latent State
      Returns:
      TRUE - The Entity Hazard Latent State Successfully added

    • entityHazardExists

      public boolean entityHazardExists​(EntityHazardLabel entityHazardLabel)
      Indicate if the Entity Hazard Latent State Exists
      Parameters:
      entityHazardLabel - The Entity Hazard Latent State Label
      Returns:
      TRUE - The Entity Hazard Latent State Exists

    • entityHazard

      public TerminalLatentState entityHazard​(EntityHazardLabel entityHazardLabel)
      Retrieve the Entity Hazard Latent State
      Parameters:
      entityHazardLabel - The Entity Hazard Latent State Label
      Returns:
      The Entity Hazard Latent State

    • entityCreditMap

      public java.util.Map<java.lang.String,​TerminalLatentState> entityCreditMap()
      Retrieve the Entity Credit Evolver Map
      Returns:
      The Entity Credit Evolver Map

    • addEntityCredit

      public boolean addEntityCredit​(TerminalLatentState terminalLatentState)
      Add the Entity Credit Latent State Evolver
      Parameters:
      terminalLatentState - The Entity Credit Terminal Latent State
      Returns:
      TRUE - The Entity Credit Latent State Successfully added

    • entityCreditExists

      public boolean entityCreditExists​(EntityCDSLabel entityCreditLabel)
      Indicate if the Entity Credit Latent State Exists
      Parameters:
      entityCreditLabel - The Entity Credit Latent State Label
      Returns:
      TRUE - The Entity Credit Latent State Exists

    • entityCredit

      public TerminalLatentState entityCredit​(EntityCDSLabel entityCreditLabel)
      Retrieve the Entity Credit Latent State
      Parameters:
      entityCreditLabel - The Entity Credit Latent State Label
      Returns:
      The Entity Credit Latent State

    • entityRecoveryMap

      public java.util.Map<java.lang.String,​TerminalLatentState> entityRecoveryMap()
      Retrieve the Entity Recovery Evolver Map
      Returns:
      The Entity Recovery Evolver Map

    • addEntityRecovery

      public boolean addEntityRecovery​(TerminalLatentState terminalLatentState)
      Add the Entity Recovery Latent State Evolver
      Parameters:
      terminalLatentState - The Entity Recovery Terminal Latent State
      Returns:
      TRUE - The Entity Recovery Latent State Successfully added

    • entityRecoveryExists

      public boolean entityRecoveryExists​(EntityRecoveryLabel entityRecoveryLabel)
      Indicate if the Entity Recovery Latent State Exists
      Parameters:
      entityRecoveryLabel - The Entity Recovery Latent State Label
      Returns:
      TRUE - The Entity Recovery Latent State Exists

    • entityRecovery

      public TerminalLatentState entityRecovery​(EntityRecoveryLabel entityRecoveryLabel)
      Retrieve the Entity Recovery Latent State
      Parameters:
      entityRecoveryLabel - The Entity Recovery Latent State Label
      Returns:
      The Entity Recovery Latent State

    • entityFundingMap

      public java.util.Map<java.lang.String,​TerminalLatentState> entityFundingMap()
      Retrieve the Entity Funding Evolver Map
      Returns:
      The Entity Funding Evolver Map

    • addEntityFunding

      public boolean addEntityFunding​(TerminalLatentState terminalLatentState)
      Add the Entity Funding Latent State Evolver
      Parameters:
      terminalLatentState - The Entity Funding Terminal Latent State
      Returns:
      TRUE - The Entity Funding Latent State Successfully added

    • entityFundingExists

      public boolean entityFundingExists​(EntityFundingLabel entityFundingLabel)
      Indicate if the Entity Funding Latent State Exists
      Parameters:
      entityFundingLabel - The Entity Funding Latent State Label
      Returns:
      TRUE - The Entity Funding Latent State Exists

    • entityFunding

      public TerminalLatentState entityFunding​(EntityFundingLabel entityFundingLabel)
      Retrieve the Entity Funding Latent State
      Parameters:
      entityFundingLabel - The Entity Funding Latent State Label
      Returns:
      The Entity Funding Latent State

    • volatilityMap

      public java.util.Map<java.lang.String,​TerminalLatentState> volatilityMap()
      Retrieve the Volatility Evolver Map
      Returns:
      The Volatility Evolver Map

    • addVolatility

      public boolean addVolatility​(TerminalLatentState terminalLatentState)
      Add the Volatility Latent State Evolver
      Parameters:
      terminalLatentState - The Volatility Terminal Latent State
      Returns:
      TRUE - The Volatility Latent State Successfully added

    • volatilityExists

      public boolean volatilityExists​(VolatilityLabel volatilityLabel)
      Indicate if the Volatility Latent State Exists
      Parameters:
      volatilityLabel - The Volatility Latent State Label
      Returns:
      TRUE - The Volatility Latent State Exists

    • volatility

      public TerminalLatentState volatility​(VolatilityLabel volatilityLabel)
      Retrieve the Volatility Latent State
      Parameters:
      volatilityLabel - The Volatility Latent State Label
      Returns:
      The Volatility Latent State

    • ratingMap

      public java.util.Map<java.lang.String,​TerminalLatentState> ratingMap()
      Retrieve the Ratings Evolver Map
      Returns:
      The Ratings Evolver Map

    • addRating

      public boolean addRating​(TerminalLatentState terminalLatentState)
      Add the Rating Latent State Evolver
      Parameters:
      terminalLatentState - The Rating Terminal Latent State
      Returns:
      TRUE - The Rating Latent State Successfully added

    • ratingExists

      public boolean ratingExists​(RatingLabel ratingLabel)
      Indicate if the Rating Latent State Exists
      Parameters:
      ratingLabel - The Rating Latent State Label
      Returns:
      TRUE - The Rating Latent State Exists

    • rating

      public TerminalLatentState rating​(RatingLabel ratingLabel)
      Retrieve the Rating Latent State
      Parameters:
      ratingLabel - The Rating Latent State Label
      Returns:
      The Rating Latent State

    • repoMap

      public java.util.Map<java.lang.String,​TerminalLatentState> repoMap()
      Retrieve the Repo Evolver Map
      Returns:
      The Repo Evolver Map

    • addRepo

      public boolean addRepo​(TerminalLatentState terminalLatentState)
      Add the Repo Latent State Evolver
      Parameters:
      terminalLatentState - The Repo Terminal Latent State
      Returns:
      TRUE - The Repo Latent State Successfully added

    • repoExists

      public boolean repoExists​(RepoLabel repoLabel)
      Indicate if the Repo Latent State Exists
      Parameters:
      repoLabel - The Repo Latent State Label
      Returns:
      TRUE - The Repo Latent State Exists

    • repo

      public TerminalLatentState repo​(RepoLabel repoLabel)
      Retrieve the Repo Latent State
      Parameters:
      repoLabel - The Repo Latent State Label
      Returns:
      The Repo Latent State

    • payDownMap

      public java.util.Map<java.lang.String,​TerminalLatentState> payDownMap()
      Retrieve the Pay Down Evolver Map
      Returns:
      The Pay Down Evolver Map

    • addPayDown

      public boolean addPayDown​(TerminalLatentState terminalLatentState)
      Add the Pay Down Latent State Evolver
      Parameters:
      terminalLatentState - The Pay Down Terminal Latent State
      Returns:
      TRUE - The Repo Latent State Successfully added

    • payDownExists

      public boolean payDownExists​(PaydownLabel payDownLabel)
      Indicate if the Pay Down Latent State Exists
      Parameters:
      payDownLabel - The Pay Down Latent State Label
      Returns:
      TRUE - The Pay Down Latent State Exists

    • payDown

      public TerminalLatentState payDown​(PaydownLabel payDownLabel)
      Retrieve the Pay Down Latent State
      Parameters:
      payDownLabel - The Pay Down Latent State Label
      Returns:
      The Pay Down Latent State

    • customMap

      public java.util.Map<java.lang.String,​TerminalLatentState> customMap()
      Retrieve the Custom Evolver Map
      Returns:
      The Custom Evolver Map

    • addCustom

      public boolean addCustom​(TerminalLatentState terminalLatentState)
      Add the Custom Latent State Evolver
      Parameters:
      terminalLatentState - The Custom Terminal Latent State
      Returns:
      TRUE - The Custom Latent State Successfully added

    • customExists

      public boolean customExists​(CustomLabel customLabel)
      Indicate if the Custom Latent State Exists
      Parameters:
      customLabel - The Custom Latent State Label
      Returns:
      TRUE - The Custom Latent State Exists

    • custom

      public TerminalLatentState custom​(CustomLabel customLabel)
      Retrieve the Custom Latent State
      Parameters:
      customLabel - The Custom Latent State Label
      Returns:
      The Custom Latent State

    • 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

    • labelExists

      public boolean labelExists​(LatentStateLabel label)
      Indicate if the Label exists
      Parameters:
      label - The Latent State Label
      Returns:
      TRUE - The Latent State Label exists

    • terminal

      public TerminalLatentState terminal​(LatentStateLabel label)
      Retrieve the Terminal Latent State corresponding to the Label
      Parameters:
      label - The Latent State Label
      Returns:
      The Terminal Latent State corresponding to the Label