Package org.drip.exposure.holdings

Class PositionGroupContainer

java.lang.Object
org.drip.exposure.holdings.PositionGroupContainer
public class PositionGroupContainer
extends java.lang.Object
PositionGroupContainer contains a Set of Position/Collateral Groups. 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

    • PositionGroupContainer

      public PositionGroupContainer​(PositionGroup[] positionGroupArray) throws java.lang.Exception
      PositionGroupContainer Constructor
      Parameters:
      positionGroupArray - The Position Group Array
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Solo

      public static final PositionGroupContainer Solo​(PositionGroup positionGroup)
      Generate a PositionGroupContainer Instance with a Solo Group
      Parameters:
      positionGroup - The PositionGroup Instance
      Returns:
      The Solo PositionGroupContainer

    • positionGroupArray

      public PositionGroup[] positionGroupArray()
      Retrieve the Array of Position Groups
      Returns:
      The Array of Position Groups

    • count

      public int count()
      Retrieve the Number of the Positions in the Container
      Returns:
      Number of the Positions in the Container

    • setCollateralGroupPath

      public boolean setCollateralGroupPath​(int positionGroupIndex, CollateralGroupPath collateralGroupPath)
      Set the Specific Position Group's Collateral Group Path
      Parameters:
      positionGroupIndex - The Index in the Position Group
      collateralGroupPath - Collateral Group Path
      Returns:
      TRUE - The Collateral Group Path successfully set

    • creditDebtSegments

      public java.util.Map<java.lang.String,​PositionGroupSegment> creditDebtSegments()
      Retrieve the Position Groups Sorted into Credit Debt Group Segments
      Returns:
      Map of the Position Groups Sorted into Credit Debt Group Segments

    • creditDebtSegmentPaths

      public CollateralGroupPath[][] creditDebtSegmentPaths()
      Retrieve the Array of Position Groups Collected into Credit Debt Group Collateral Vertex Paths
      Returns:
      Array of the Position Groups Collected into Credit Debt Group Collateral Vertex Paths

    • fundingSegments

      public java.util.Map<java.lang.String,​PositionGroupSegment> fundingSegments()
      Retrieve the Position Groups Sorted into Funding Group Segments
      Returns:
      Map of the Position Groups Sorted into Funding Group Segments

    • fundingSegmentPaths

      public CollateralGroupPath[][] fundingSegmentPaths()
      Retrieve the Array of Position Groups Collected into Funding Group Collateral Vertex Paths
      Returns:
      Array of the Position Groups Collected into Funding Group Collateral Vertex Paths