Package org.drip.exposure.evolver
Class LatentStateVertexContainer
java.lang.Object
org.drip.exposure.evolver.LatentStateVertexContainer
public class LatentStateVertexContainer
extends java.lang.Object
LatentStateVertexContainer holds the Latent State Labels and their corresponding Vertex
Realizations. The References are:
- Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management, and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301 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 (2014): PDE Representations of Derivatives with Bilateral Counter- party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
- 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 LatentStateVertexContainer()
Empty LatentStateVertexContainer Constructor -
Method Summary
Modifier and Type Method Description boolean
add(CollateralLabel collateralLabel, double collateral)
Add the Labeled Collateralboolean
add(CSALabel csaLabel, double csa)
Add the Labeled CSAboolean
add(CustomLabel customLabel, double custom)
Add the Labeled Customboolean
add(EntityCreditLabel entityCreditLabel, double entityCredit)
Add the Labeled Entity Creditboolean
add(EntityEquityLabel entityEquityLabel, double entityEquity)
Add the Labeled Entity Equityboolean
add(EntityFundingLabel entityFundingLabel, double entityFunding)
Add the Labeled Entity Fundingboolean
add(EntityHazardLabel entityHazardLabel, double entityHazard)
Add the Labeled Entity Hazardboolean
add(EntityRecoveryLabel entityRecoveryLabel, double entityRecovery)
Add the Labeled Entity Recoveryboolean
add(ForwardLabel forwardLabel, double forward)
Add the Labeled Forwardboolean
add(FundingLabel fundingLabel, double funding)
Add the Labeled Fundingboolean
add(FXLabel fxLabel, double fx)
Add the Labeled FXboolean
add(GovvieLabel govvieLabel, double govvie)
Add the Labeled Govvieboolean
add(OTCFixFloatLabel otcFixFloatLabel, double otcFixFloat)
Add the Labeled OTC Fix Floatboolean
add(OvernightLabel overnightLabel, double overnight)
Add the Labeled Overnightboolean
add(PaydownLabel payDownLabel, double payDown)
Add the Labeled Pay Downboolean
add(RatingLabel ratingLabel, double rating)
Add the Labeled Ratingboolean
add(RepoLabel repoLabel, double repo)
Add the Labeled Repoboolean
add(VolatilityLabel volatilityLabel, double volatility)
Add the Labeled Volatilityboolean
addLatentStateValue(LatentStateLabel latentStateLabel, double value)
Add the Value Corresponding to the Specific Latent Statejava.util.Map<java.lang.String,java.lang.Double>
collateral()
Retrieve the Collateral Latent State Node Containerdouble
collateral(CollateralLabel collateralLabel)
Retrieve of Labeled Collateraljava.util.Map<java.lang.String,java.lang.Double>
csa()
Retrieve the CSA Latent State Node Containerdouble
csa(CSALabel csaLabel)
Retrieve of Labeled CSAjava.util.Map<java.lang.String,java.lang.Double>
custom()
Retrieve the Custom Latent State Node Containerdouble
custom(CustomLabel customLabel)
Retrieve of Labeled Customjava.util.Map<java.lang.String,java.lang.Double>
entityCredit()
Retrieve the Entity Credit Latent State Node Containerdouble
entityCredit(EntityCreditLabel entityCreditLabel)
Retrieve of Labeled Entity Creditjava.util.Map<java.lang.String,java.lang.Double>
entityEquity()
Retrieve the Entity Equity Latent State Node Containerdouble
entityEquity(EntityEquityLabel entityEquityLabel)
Retrieve of Labeled Entity Equityjava.util.Map<java.lang.String,java.lang.Double>
entityFunding()
Retrieve the Entity Funding Latent State Node Containerdouble
entityFunding(EntityFundingLabel entityFundingLabel)
Retrieve of Labeled Entity Fundingjava.util.Map<java.lang.String,java.lang.Double>
entityHazard()
Retrieve the Entity Hazard Latent State Node Containerdouble
entityHazard(EntityHazardLabel entityHazardLabel)
Retrieve of Labeled Entity Hazardjava.util.Map<java.lang.String,java.lang.Double>
entityRecovery()
Retrieve the Entity Recovery Latent State Node Containerdouble
entityRecovery(EntityRecoveryLabel entityRecoveryLabel)
Retrieve of Labeled Entity Recoveryboolean
exists(CollateralLabel collateralLabel)
Check Presence of Labeled Collateralboolean
exists(CSALabel csaLabel)
Check Presence of Labeled CSAboolean
exists(CustomLabel customLabel)
Check Presence of Labeled Customboolean
exists(EntityCreditLabel entityCreditLabel)
Check Presence of Labeled Entity Creditboolean
exists(EntityEquityLabel entityEquityLabel)
Check Presence of Labeled Entity Equityboolean
exists(EntityFundingLabel entityFundingLabel)
Check Presence of Labeled Entity Fundingboolean
exists(EntityHazardLabel entityHazardLabel)
Check Presence of Labeled Entity Hazardboolean
exists(EntityRecoveryLabel entityRecoveryLabel)
Check Presence of Labeled Entity Recoveryboolean
exists(ForwardLabel forwardLabel)
Check Presence of Labeled Forwardboolean
exists(FundingLabel fundingLabel)
Check Presence of Labeled Fundingboolean
exists(FXLabel fxLabel)
Check Presence of Labeled FXboolean
exists(GovvieLabel govvieLabel)
Check Presence of Labeled Govvieboolean
exists(OTCFixFloatLabel otcFixFloatLabel)
Check Presence of Labeled OTC Fix Floatboolean
exists(OvernightLabel overnightLabel)
Check Presence of Labeled Overnightboolean
exists(PaydownLabel payDownLabel)
Check Presence of Labeled Pay Downboolean
exists(RatingLabel ratingLabel)
Check Presence of Labeled Ratingboolean
exists(RepoLabel repoLabel)
Check Presence of Labeled Repoboolean
exists(VolatilityLabel volatilityLabel)
Check Presence of Labeled Volatilityjava.util.Map<java.lang.String,java.lang.Double>
forward()
Retrieve the Forward Latent State Node Containerdouble
forward(ForwardLabel forwardLabel)
Retrieve of Labeled Forwardjava.util.Map<java.lang.String,java.lang.Double>
funding()
Retrieve the Funding Latent State Node Containerdouble
funding(FundingLabel fundingLabel)
Retrieve of Labeled Fundingjava.util.Map<java.lang.String,java.lang.Double>
fx()
Retrieve the FX Latent State Node Containerdouble
fx(FXLabel fxLabel)
Retrieve of Labeled FXjava.util.Map<java.lang.String,java.lang.Double>
govvie()
Retrieve the Govvie Latent State Node Containerdouble
govvie(GovvieLabel govvieLabel)
Retrieve of Labeled Govviejava.util.List<LatentStateLabel>
labelList()
Retrieve the List of all Loaded Labelsjava.util.Map<java.lang.String,java.lang.Double>
otcFixFloat()
Retrieve the OTC Fix Float Latent State Node Containerdouble
otcFixFloat(OTCFixFloatLabel otcFixFloatLabel)
Retrieve of Labeled OTC Fix Floatjava.util.Map<java.lang.String,java.lang.Double>
overnight()
Retrieve the Overnight Latent State Node Containerdouble
overnight(OvernightLabel overnightLabel)
Retrieve of Labeled Overnightjava.util.Map<java.lang.String,java.lang.Double>
payDown()
Retrieve the Pay Down Latent State Node Containerdouble
payDown(PaydownLabel payDownLabel)
Retrieve of Labeled Pay Downjava.util.Map<java.lang.String,java.lang.Double>
rating()
Retrieve the Govvie Latent State Node Containerdouble
rating(RatingLabel ratingLabel)
Retrieve of Labeled Ratingjava.util.Map<java.lang.String,java.lang.Double>
repo()
Retrieve the Repo Latent State Node Containerdouble
repo(RepoLabel repoLabel)
Retrieve of Labeled Repodouble
value(LatentStateLabel latentStateLabel)
Retrieve the Value Corresponding to the Specific Latent Statejava.util.Map<java.lang.String,java.lang.Double>
volatility()
Retrieve the Volatility Latent State Node Containerdouble
volatility(VolatilityLabel volatilityLabel)
Retrieve of Labeled VolatilityMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
-
Constructor Details
-
LatentStateVertexContainer
public LatentStateVertexContainer()Empty LatentStateVertexContainer Constructor
-
-
Method Details
-
fx
public java.util.Map<java.lang.String,java.lang.Double> fx()Retrieve the FX Latent State Node Container- Returns:
- The FX Latent State Node Container
-
csa
public java.util.Map<java.lang.String,java.lang.Double> csa()Retrieve the CSA Latent State Node Container- Returns:
- The CSA Latent State Node Container
-
repo
public java.util.Map<java.lang.String,java.lang.Double> repo()Retrieve the Repo Latent State Node Container- Returns:
- The Repo Latent State Node Container
-
custom
public java.util.Map<java.lang.String,java.lang.Double> custom()Retrieve the Custom Latent State Node Container- Returns:
- The Custom Latent State Node Container
-
govvie
public java.util.Map<java.lang.String,java.lang.Double> govvie()Retrieve the Govvie Latent State Node Container- Returns:
- The Govvie Latent State Node Container
-
rating
public java.util.Map<java.lang.String,java.lang.Double> rating()Retrieve the Govvie Latent State Node Container- Returns:
- The Govvie Latent State Node Container
-
forward
public java.util.Map<java.lang.String,java.lang.Double> forward()Retrieve the Forward Latent State Node Container- Returns:
- The Forward Latent State Node Container
-
funding
public java.util.Map<java.lang.String,java.lang.Double> funding()Retrieve the Funding Latent State Node Container- Returns:
- The Funding Latent State Node Container
-
payDown
public java.util.Map<java.lang.String,java.lang.Double> payDown()Retrieve the Pay Down Latent State Node Container- Returns:
- The Pay Down Latent State Node Container
-
overnight
public java.util.Map<java.lang.String,java.lang.Double> overnight()Retrieve the Overnight Latent State Node Container- Returns:
- The Overnight Latent State Node Container
-
collateral
public java.util.Map<java.lang.String,java.lang.Double> collateral()Retrieve the Collateral Latent State Node Container- Returns:
- The Collateral Latent State Node Container
-
volatility
public java.util.Map<java.lang.String,java.lang.Double> volatility()Retrieve the Volatility Latent State Node Container- Returns:
- The Volatility Latent State Node Container
-
otcFixFloat
public java.util.Map<java.lang.String,java.lang.Double> otcFixFloat()Retrieve the OTC Fix Float Latent State Node Container- Returns:
- The OTC Fix Float Latent State Node Container
-
entityCredit
public java.util.Map<java.lang.String,java.lang.Double> entityCredit()Retrieve the Entity Credit Latent State Node Container- Returns:
- The Entity Credit Latent State Node Container
-
entityEquity
public java.util.Map<java.lang.String,java.lang.Double> entityEquity()Retrieve the Entity Equity Latent State Node Container- Returns:
- The Entity Equity Latent State Node Container
-
entityHazard
public java.util.Map<java.lang.String,java.lang.Double> entityHazard()Retrieve the Entity Hazard Latent State Node Container- Returns:
- The Entity Hazard Latent State Node Container
-
entityFunding
public java.util.Map<java.lang.String,java.lang.Double> entityFunding()Retrieve the Entity Funding Latent State Node Container- Returns:
- The Entity Funding Latent State Node Container
-
entityRecovery
public java.util.Map<java.lang.String,java.lang.Double> entityRecovery()Retrieve the Entity Recovery Latent State Node Container- Returns:
- The Entity Recovery Latent State Node Container
-
add
Add the Labeled CSA- Parameters:
csaLabel
- The CSA Labelcsa
- The CSA- Returns:
- The Labeled CSA successfully added
-
exists
Check Presence of Labeled CSA- Parameters:
csaLabel
- The CSA Label- Returns:
- The Labeled CSA exists
-
csa
Retrieve of Labeled CSA- Parameters:
csaLabel
- The CSA Label- Returns:
- The Labeled CSA
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled FX- Parameters:
fxLabel
- The FX Labelfx
- The FX- Returns:
- The Labeled FX successfully added
-
exists
Check Presence of Labeled FX- Parameters:
fxLabel
- The FX Label- Returns:
- The Labeled FX exists
-
fx
Retrieve of Labeled FX- Parameters:
fxLabel
- The FX Label- Returns:
- The Labeled FX
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Repo- Parameters:
repoLabel
- The Repo Labelrepo
- The Repo- Returns:
- The Labeled Repo successfully added
-
exists
Check Presence of Labeled Repo- Parameters:
repoLabel
- The Repo Label- Returns:
- The Labeled Repo exists
-
repo
Retrieve of Labeled Repo- Parameters:
repoLabel
- The Repo Label- Returns:
- The Labeled Repo
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Custom- Parameters:
customLabel
- The Custom Labelcustom
- The Custom- Returns:
- The Labeled Custom successfully added
-
exists
Check Presence of Labeled Custom- Parameters:
customLabel
- The Custom Label- Returns:
- The Labeled Custom exists
-
custom
Retrieve of Labeled Custom- Parameters:
customLabel
- The Custom Label- Returns:
- The Labeled Custom
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Govvie- Parameters:
govvieLabel
- The Govvie Labelgovvie
- The Govvie- Returns:
- The Labeled Govvie successfully added
-
exists
Check Presence of Labeled Govvie- Parameters:
govvieLabel
- The Govvie Label- Returns:
- The Labeled Govvie exists
-
govvie
Retrieve of Labeled Govvie- Parameters:
govvieLabel
- The Govvie Label- Returns:
- The Labeled Govvie
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Rating- Parameters:
ratingLabel
- The Rating Labelrating
- The Rating- Returns:
- The Labeled Rating successfully added
-
exists
Check Presence of Labeled Rating- Parameters:
ratingLabel
- The Rating Label- Returns:
- The Labeled Rating exists
-
rating
Retrieve of Labeled Rating- Parameters:
ratingLabel
- The Rating Label- Returns:
- The Labeled Rating
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Forward- Parameters:
forwardLabel
- The Forward Labelforward
- The Forward- Returns:
- The Labeled Forward successfully added
-
exists
Check Presence of Labeled Forward- Parameters:
forwardLabel
- The Forward Label- Returns:
- The Labeled Forward exists
-
forward
Retrieve of Labeled Forward- Parameters:
forwardLabel
- The Forward Label- Returns:
- The Labeled Forward
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Funding- Parameters:
fundingLabel
- The Funding Labelfunding
- The Funding- Returns:
- The Labeled Funding successfully added
-
exists
Check Presence of Labeled Funding- Parameters:
fundingLabel
- The Funding Label- Returns:
- The Labeled Funding exists
-
funding
Retrieve of Labeled Funding- Parameters:
fundingLabel
- The Funding Label- Returns:
- The Labeled Funding
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Pay Down- Parameters:
payDownLabel
- The Pay Down LabelpayDown
- The Pay Down- Returns:
- The Labeled Pay Down successfully added
-
exists
Check Presence of Labeled Pay Down- Parameters:
payDownLabel
- The Pay Down Label- Returns:
- The Labeled Pay Down exists
-
payDown
Retrieve of Labeled Pay Down- Parameters:
payDownLabel
- The Pay Down Label- Returns:
- The Labeled Pay Down
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Overnight- Parameters:
overnightLabel
- The Overnight Labelovernight
- The Overnight- Returns:
- The Labeled Overnight successfully added
-
exists
Check Presence of Labeled Overnight- Parameters:
overnightLabel
- The Overnight Label- Returns:
- The Labeled Overnight exists
-
overnight
Retrieve of Labeled Overnight- Parameters:
overnightLabel
- The Overnight Label- Returns:
- The Labeled Overnight
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Collateral- Parameters:
collateralLabel
- The Collateral Labelcollateral
- The Collateral- Returns:
- The Labeled Collateral successfully added
-
exists
Check Presence of Labeled Collateral- Parameters:
collateralLabel
- The Collateral Label- Returns:
- The Labeled Collateral exists
-
collateral
Retrieve of Labeled Collateral- Parameters:
collateralLabel
- The Collateral Label- Returns:
- The Labeled Collateral
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Volatility- Parameters:
volatilityLabel
- The Volatility Labelvolatility
- The Volatility- Returns:
- The Labeled Volatility successfully added
-
exists
Check Presence of Labeled Volatility- Parameters:
volatilityLabel
- The Volatility Label- Returns:
- The Labeled Volatility exists
-
volatility
Retrieve of Labeled Volatility- Parameters:
volatilityLabel
- The Volatility Label- Returns:
- The Labeled Volatility
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled OTC Fix Float- Parameters:
otcFixFloatLabel
- The OTC Fix Float LabelotcFixFloat
- The OTC Fix Float Value- Returns:
- The Labeled OTC Fix Float successfully added
-
exists
Check Presence of Labeled OTC Fix Float- Parameters:
otcFixFloatLabel
- The OTC Fix Float Label- Returns:
- The Labeled OTC Fix Float exists
-
otcFixFloat
Retrieve of Labeled OTC Fix Float- Parameters:
otcFixFloatLabel
- The OTC Fix Float Label- Returns:
- The Labeled OTC Fix Float
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Entity Credit- Parameters:
entityCreditLabel
- The Entity Credit LabelentityCredit
- The Entity Credit- Returns:
- The Labeled Entity Credit successfully added
-
exists
Check Presence of Labeled Entity Credit- Parameters:
entityCreditLabel
- The Entity Credit Label- Returns:
- The Labeled Entity Credit exists
-
entityCredit
Retrieve of Labeled Entity Credit- Parameters:
entityCreditLabel
- The Entity Credit Label- Returns:
- The Labeled Entity Credit
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Entity Equity- Parameters:
entityEquityLabel
- The Entity Equity LabelentityEquity
- The Entity Equity- Returns:
- The Labeled Entity Equity successfully added
-
exists
Check Presence of Labeled Entity Equity- Parameters:
entityEquityLabel
- The Entity Equity Label- Returns:
- The Labeled Entity Equity exists
-
entityEquity
Retrieve of Labeled Entity Equity- Parameters:
entityEquityLabel
- The Entity Equity Label- Returns:
- The Labeled Entity Equity
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Entity Hazard- Parameters:
entityHazardLabel
- The Entity Hazard LabelentityHazard
- The Entity Hazard- Returns:
- The Labeled Entity Hazard successfully added
-
exists
Check Presence of Labeled Entity Hazard- Parameters:
entityHazardLabel
- The Entity Hazard Label- Returns:
- The Labeled Entity Hazard exists
-
entityHazard
Retrieve of Labeled Entity Hazard- Parameters:
entityHazardLabel
- The Entity Hazard Label- Returns:
- The Labeled Entity Hazard
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Entity Funding- Parameters:
entityFundingLabel
- The Entity Funding LabelentityFunding
- The Entity Funding- Returns:
- The Labeled Entity Funding successfully added
-
exists
Check Presence of Labeled Entity Funding- Parameters:
entityFundingLabel
- The Entity Funding Label- Returns:
- The Labeled Entity Funding Exists
-
entityFunding
Retrieve of Labeled Entity Funding- Parameters:
entityFundingLabel
- The Entity Funding Label- Returns:
- The Labeled Entity Funding
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
add
Add the Labeled Entity Recovery- Parameters:
entityRecoveryLabel
- The Entity Recovery LabelentityRecovery
- The Entity Recovery- Returns:
- The Labeled Entity Recovery successfully added
-
exists
Check Presence of Labeled Entity Recovery- Parameters:
entityRecoveryLabel
- The Entity Recovery Label- Returns:
- The Labeled Entity Recovery exists
-
entityRecovery
Retrieve of Labeled Entity Recovery- Parameters:
entityRecoveryLabel
- The Entity Recovery Label- Returns:
- The Labeled Entity Recovery
- Throws:
java.lang.Exception
- Thrown if Inputs are Invalid
-
addLatentStateValue
Add the Value Corresponding to the Specific Latent State- Parameters:
latentStateLabel
- The Latent State Labelvalue
- The Latent State Value- Returns:
- TRUE - The Value Corresponding to the Specific Latent State successfully added
-
value
Retrieve the Value Corresponding to the Specific Latent State- Parameters:
latentStateLabel
- The Latent State Label- Returns:
- The Value Corresponding to the Specific Latent State
- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
-
labelList
Retrieve the List of all Loaded Labels- Returns:
- The List of all Loaded Labels
-