Package org.drip.exposure.evolver

Class TerminalLatentState

java.lang.Object
org.drip.exposure.evolver.ScalingNumeraire
org.drip.exposure.evolver.TerminalLatentState
Direct Known Subclasses:
PrimarySecurity
public class TerminalLatentState
extends ScalingNumeraire
TerminalLatentState contains the Latent State Label and the corresponding Terminal Diffusion Evolver. 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 Summary

    Constructors
    Constructor Description
    TerminalLatentState​(LatentStateLabel label, DiffusionEvolver diffusionEvolver)
    TerminalLatentState Constructor

  • Method Summary

    Modifier and Type Method Description
    LatentStateLabel label()
    Retrieve the Latent State 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

    • TerminalLatentState

      public TerminalLatentState​(LatentStateLabel label, DiffusionEvolver diffusionEvolver) throws java.lang.Exception
      TerminalLatentState Constructor
      Parameters:
      label - The Latest State Label
      diffusionEvolver - The Latent State Diffusion Evolver
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • label

      public LatentStateLabel label()
      Retrieve the Latent State Label
      Returns:
      The Latent State Label