Package org.drip.exposure.holdings

Holdings Exposure - Position and Dependencies
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FixFloatBaselPositionEstimator
    FixFloatBaselPositionEstimator evaluates the Value of a Fix Float Position Group given the Realized Market Path using the Basel Scheme.
    PositionGroup
    PositionGroup holds the Settings that correspond to a Position/Collateral Group.
    PositionGroupContainer
    PositionGroupContainer contains a Set of Position/Collateral Groups.
    PositionGroupEstimator
    PositionGroupEstimator evaluates the Value of the Position Group given the Realized Market Path.
    PositionGroupSegment
    PositionGroupSegment contains one Segment of a Position/Collateral Group.