Package org.drip.exposure.regression

Class LocalVolatilityGenerationControl

java.lang.Object

org.drip.exposure.regression.LocalVolatilityGenerationControl

public class LocalVolatilityGenerationControl
extends java.lang.Object

LocalVolatilityGenerationControl holds the Parameters the control the Calculation of the Local Volatility in the Pykhtin (2009) Brownian Bridge Calibration. The References are:

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 eSSRN
• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
• Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 eSSRN
• 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

• Module = Portfolio Core Module
• Library = Exposure Analytics
• Project = Exposure Group Level Collateralized/Uncollateralized Exposure
• Package = Regression Based Path Exposure Generation

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static double	LOCAL_VOLATILITY_SMOOTHING_FLOOR_BIAS	The Local Volatility Smooth Floor Bias
static double	PYKHTIN_2009_EMPIRICAL_CEILING_FACTOR	The Pyhktin (2009) Empirical Ceiling Factor
static int	PYKHTIN_2009_EMPIRICAL_FLOOR	The Pyhktin (2009) Empirical Floor

Constructor Summary

Constructors

Constructor	Description
LocalVolatilityGenerationControl(int localVolatilityIndexShift, double[] uniformCPDArray, double[] impliedBrownianVariateArray, SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)	LocalVolatilityGenerationControl Constructor

Method Summary

Modifier and Type	Method	Description
double[]	impliedBrownianVariateArray()	Retrieve the Implied Brownian Variate Array
int	localVolatilityIndexShift()	Retrieve the Local Volatility Index Shift
SegmentCustomBuilderControl[]	segmentCustomBuilderControlArray()	Retrieve the Custom Segment Builder Control Array
static LocalVolatilityGenerationControl	Standard(int ensembleSize)	Construct a Standard Instance of LocalVolatilityGenerationControl
double[]	uniformCPDArray()	Retrieve the Uniform Cumulative Probability Density Array

Methods inherited from class java.lang.Object

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

Field Details

PYKHTIN_2009_EMPIRICAL_FLOOR

public static final int PYKHTIN_2009_EMPIRICAL_FLOOR

The Pyhktin (2009) Empirical Floor

See Also:

Constant Field Values

PYKHTIN_2009_EMPIRICAL_CEILING_FACTOR

public static final double PYKHTIN_2009_EMPIRICAL_CEILING_FACTOR

The Pyhktin (2009) Empirical Ceiling Factor

See Also:

Constant Field Values

LOCAL_VOLATILITY_SMOOTHING_FLOOR_BIAS

public static final double LOCAL_VOLATILITY_SMOOTHING_FLOOR_BIAS

The Local Volatility Smooth Floor Bias

See Also:

Constant Field Values

Constructor Details

LocalVolatilityGenerationControl

public LocalVolatilityGenerationControl(int localVolatilityIndexShift,
double[] uniformCPDArray,
double[] impliedBrownianVariateArray,
SegmentCustomBuilderControl[] segmentCustomBuilderControlArray)
                                 throws java.lang.Exception

LocalVolatilityGenerationControl Constructor

Parameters:

localVolatilityIndexShift - The Local Volatility Index Shift

uniformCPDArray - The Uniform Cumulative Probability Density Array

impliedBrownianVariateArray - The Implied Brownian Variate Array

segmentCustomBuilderControlArray - Array of Segment Builder Control

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Standard

public static final LocalVolatilityGenerationControl Standard(int ensembleSize)

Construct a Standard Instance of LocalVolatilityGenerationControl

Parameters:

ensembleSize - Size of the Distribution Ensemble

Returns:

Standard Instance of LocalVolatilityGenerationControl

localVolatilityIndexShift

public int localVolatilityIndexShift()

Retrieve the Local Volatility Index Shift

Returns:

The Local Volatility Index Shift

uniformCPDArray

public double[] uniformCPDArray()

Retrieve the Uniform Cumulative Probability Density Array

Returns:

The Uniform Cumulative Probability Density Array

impliedBrownianVariateArray

public double[] impliedBrownianVariateArray()

Retrieve the Implied Brownian Variate Array

Returns:

The Implied Brownian Variate Array

segmentCustomBuilderControlArray

public SegmentCustomBuilderControl[] segmentCustomBuilderControlArray()

Retrieve the Custom Segment Builder Control Array

Returns:

The Custom Segment Builder Control Array