Package org.drip.exposure.evolver

Class PrimarySecurity

java.lang.Object
org.drip.exposure.evolver.ScalingNumeraire
org.drip.exposure.evolver.TerminalLatentState
org.drip.exposure.evolver.PrimarySecurity
Direct Known Subclasses:
Equity
public class PrimarySecurity
extends TerminalLatentState
PrimarySecurity holds Definitions and Parameters that specify a Primary Security in XVA Terms. 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
    PrimarySecurity​(java.lang.String id, LatentStateLabel label, DiffusionEvolver evolver, double repoRate)
    PrimarySecurity Constructor

  • Method Summary

    Modifier and Type Method Description
    double cashAccumulationRate()
    Retrieve the Cash Accumulation Rate
    java.lang.String id()
    Retrieve the Security ID
    boolean isRepoable()
    Indicate if the PrimarySecurity is Repo-able
    double repoRate()
    Retrieve the Repo Rate

    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

    • PrimarySecurity

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

  • Method Details

    • id

      public java.lang.String id()
      Retrieve the Security ID
      Returns:
      The Repo Rate

    • repoRate

      public double repoRate()
      Retrieve the Repo Rate
      Returns:
      The Repo Rate

    • isRepoable

      public boolean isRepoable()
      Indicate if the PrimarySecurity is Repo-able
      Returns:
      TRUE - The PrimarySecurity is Repo-able

    • cashAccumulationRate

      public double cashAccumulationRate()
      Retrieve the Cash Accumulation Rate
      Returns:
      The Cash Accumulation Rate