Package org.drip.exposure.mpor

Class TradePayment

java.lang.Object
org.drip.exposure.mpor.TradePayment
public class TradePayment
extends java.lang.Object
TradePayment holds the Dealer (Negative) and Client (Positive) Trade Payments at an Exposure Date. 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 Summary

    Constructors
    Constructor Description
    TradePayment​(double dealer, double client)
    TradePayment Constructor

  • Method Summary

    Modifier and Type Method Description
    double client()
    Retrieve the Client Trade Payment
    double dealer()
    Retrieve the Dealer Trade Payment
    static TradePayment Standard​(double tradePayment)
    Construct a "Standard" TradePayment Instance

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • TradePayment

      public TradePayment​(double dealer, double client) throws java.lang.Exception
      TradePayment Constructor
      Parameters:
      dealer - The Dealer Trade Payment
      client - The Client Trade Payment
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final TradePayment Standard​(double tradePayment)
      Construct a "Standard" TradePayment Instance
      Parameters:
      tradePayment - The Trade Payment
      Returns:
      The "Standard" TradePayment Instance

    • dealer

      public double dealer()
      Retrieve the Dealer Trade Payment
      Returns:
      The Dealer Trade Payment

    • client

      public double client()
      Retrieve the Client Trade Payment
      Returns:
      The Client Trade Payment