Package org.drip.exposure.holdings

Class PositionGroup

java.lang.Object
org.drip.exposure.holdings.PositionGroup
public class PositionGroup
extends java.lang.Object
PositionGroup holds the Settings that correspond to a Position/Collateral Group. 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
  • 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


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • PositionGroup

      public PositionGroup​(PositionSchemaSpecification positionGroupSpecification, PositionGroupEstimator positionGroupEstimator) throws java.lang.Exception
      PositionGroup Constructor
      Parameters:
      positionGroupSpecification - The Position Group Specification
      positionGroupEstimator - The Position Group Estimator
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • positionGroupSpecification

      public PositionSchemaSpecification positionGroupSpecification()
      Retrieve the Position Group Specification
      Returns:
      The Position Group Specification

    • positionGroupEstimator

      public PositionGroupEstimator positionGroupEstimator()
      Retrieve the Position Group Estimator
      Returns:
      The Position Group Estimator

    • setCollateralGroupPath

      public boolean setCollateralGroupPath​(CollateralGroupPath collateralGroupPath)
      Set the Collateral Group Path
      Parameters:
      collateralGroupPath - The Collateral Group Path
      Returns:
      TRUE - The Collateral Group Path Successfully Set

    • collateralGroupPath

      public CollateralGroupPath collateralGroupPath()
      Retrieve the Collateral Group Path
      Returns:
      The Collateral Group Path

    • valueArray

      public double[] valueArray​(MarketPath marketPath)
      Generate the Position Group Value Array at the specified Vertexes
      Parameters:
      marketPath - The Market Path
      Returns:
      The Position Group Value Array