Package org.drip.exposure.regression

Class PillarVertex

java.lang.Object
org.drip.exposure.regression.PillarVertex
public class PillarVertex
extends java.lang.Object
PillarVertex hold the Date and the Exposure of each Vertex Pillar. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    PillarVertex​(int date, double exposure)
    PillarVertexConstructor

  • Method Summary

    Modifier and Type Method Description
    int date()
    Retrieve the Path Pillar Date
    double exposure()
    Retrieve the Path Pillar Exposure

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PillarVertex

      public PillarVertex​(int date, double exposure) throws java.lang.Exception
      PillarVertexConstructor
      Parameters:
      date - The Path Pillar Date
      exposure - The Path Pillar Exposure
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • date

      public int date()
      Retrieve the Path Pillar Date
      Returns:
      The Path Pillar Date

    • exposure

      public double exposure()
      Retrieve the Path Pillar Exposure
      Returns:
      The Path Pillar Exposure