Package org.drip.exposure.evolver

Class PrimarySecurityDynamicsContainer

java.lang.Object

org.drip.exposure.evolver.DynamicsContainer

org.drip.exposure.evolver.PrimarySecurityDynamicsContainer

public class PrimarySecurityDynamicsContainer
extends DynamicsContainer

PrimarySecurityDynamicsContainer holds the Economy with the following Traded Assets - the Overnight Index Numeraire, the Collateral Scheme Numeraire, the Default-able Dealer Bond Numeraire, the Array of Default-able Client Numeraires, and an Asset that follows Brownian Motion. The References are:

• Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 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 (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN
• 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
PrimarySecurityDynamicsContainer(java.util.List<PrimarySecurity> assetList, PrimarySecurity overnight, PrimarySecurity csa, PrimarySecurity dealerSeniorFunding, PrimarySecurity dealerSubordinateFunding, PrimarySecurity clientFunding)	PrimarySecurityDynamicsContainer Constructor

Method Summary

Modifier and Type	Method	Description
java.util.List<PrimarySecurity>	assetList()	Retrieve the Asset Primary Security List
PrimarySecurity	clientFunding()	Retrieve the Client Funding Primary Security
PrimarySecurity	csa()	Retrieve the CSA Primary Security
PrimarySecurity	dealerSeniorFunding()	Retrieve the Dealer Senior Funding Primary Security
PrimarySecurity	dealerSubordinateFunding()	Retrieve the Dealer Subordinate Funding Primary Security
PrimarySecurity	overnight()	Retrieve the Overnight Index Primary Security

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

PrimarySecurityDynamicsContainer

public PrimarySecurityDynamicsContainer(java.util.List<PrimarySecurity> assetList,
PrimarySecurity overnight,
PrimarySecurity csa,
PrimarySecurity dealerSeniorFunding,
PrimarySecurity dealerSubordinateFunding,
PrimarySecurity clientFunding)
                                 throws java.lang.Exception

PrimarySecurityDynamicsContainer Constructor

Parameters:

assetList - The List of Asset Primary Securities

overnight - The Overnight Index Primary Security

csa - The CSA Primary Security

dealerSeniorFunding - Dealer Senior Funding Primary Security

dealerSubordinateFunding - Dealer Subordinate Funding Primary Security

clientFunding - Client Funding Primary Security

Throws:

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

Method Details

assetList

public java.util.List<PrimarySecurity> assetList()

Retrieve the Asset Primary Security List

Returns:

The Asset Primary Security List

overnight

public PrimarySecurity overnight()

Retrieve the Overnight Index Primary Security

Returns:

The Overnight Index Primary Security

csa

public PrimarySecurity csa()

Retrieve the CSA Primary Security

Returns:

The CSA Primary Security

dealerSeniorFunding

public PrimarySecurity dealerSeniorFunding()

Retrieve the Dealer Senior Funding Primary Security

Returns:

The Dealer Senior Funding Primary Security

dealerSubordinateFunding

public PrimarySecurity dealerSubordinateFunding()

Retrieve the Dealer Subordinate Funding Primary Security

Returns:

The Dealer Subordinate Funding Primary Security

clientFunding

public PrimarySecurity clientFunding()

Retrieve the Client Funding Primary Security

Returns:

The Client Funding Primary Security