Package org.drip.exposure.holdings

Class PositionGroupSegment

java.lang.Object
org.drip.exposure.holdings.PositionGroupSegment
public class PositionGroupSegment
extends java.lang.Object
PositionGroupSegment contains one Segment of 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

    • PositionGroupSegment

      public PositionGroupSegment()
      Empty PositionGroupSegment Constructor

  • Method Details

    • positionGroupSet

      public java.util.Set<PositionGroup> positionGroupSet()
      Retrieve the Position Group Segment
      Returns:
      The Position Group Segment

    • add

      public boolean add​(PositionGroup positionGroup)
      Add the Specified Position Group to the Segment
      Parameters:
      positionGroup - The Position Group
      Returns:
      TRUE - The Position Group successfully added

    • positionGroupArray

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

    • collateralGroupPathArray

      public CollateralGroupPath[] collateralGroupPathArray()
      Retrieve the Position Group Collateral Path Array
      Returns:
      The Position Group Collateral Path Array