Package org.drip.exposure.evolver

Class ScalingNumeraire

java.lang.Object
org.drip.exposure.evolver.ScalingNumeraire
Direct Known Subclasses:
TerminalLatentState
public class ScalingNumeraire
extends java.lang.Object
ScalingNumeraire holds Parameters that guide the Diffusion of a Scaling Numeraire. 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
    ScalingNumeraire​(DiffusionEvolver evolver)
    ScalingNumeraire Constructor

  • Method Summary

    Modifier and Type Method Description
    DiffusionEvolver evolver()
    Retrieve the Scaling Numeraire Evolver

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ScalingNumeraire

      public ScalingNumeraire​(DiffusionEvolver evolver) throws java.lang.Exception
      ScalingNumeraire Constructor
      Parameters:
      evolver - The Scaling Numeraire Diffusion Evolver
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • evolver

      public DiffusionEvolver evolver()
      Retrieve the Scaling Numeraire Evolver
      Returns:
      The Scaling Numeraire Evolver