Package org.drip.exposure.regression

Class PykhtinBrownianBridgeSegment

java.lang.Object
org.drip.exposure.regression.PykhtinBrownianBridgeSegment
public class PykhtinBrownianBridgeSegment
extends java.lang.Object
PykhtinBrownianBridgeSegment generates the Segment Regression Based Exposures off of the corresponding Pillar Vertexes using the Pykhtin (2009) Scheme. 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
    PykhtinBrownianBridgeSegment​(PillarVertex leftPillar, PillarVertex rightPillar, R1ToR1 rightPillarLocalVolatility)
    PykhtinBrownianBridgeSegment Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean denseExposureTrajectoryUpdate​(java.util.Map<java.lang.Integer,​java.lang.Double> denseExposureTrajectory, java.util.Map<java.lang.Integer,​java.lang.Double> wanderTrajectory)
    Generate the Dense (Complete) Segment Exposures
    PillarVertex leftPillar()
    Retrieve the Left Pillar Vertex
    PillarVertex rightPillar()
    Retrieve the Right Pillar Vertex
    R1ToR1 rightPillarLocalVolatility()
    Retrieve the Right Pillar Local Volatility

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PykhtinBrownianBridgeSegment

      public PykhtinBrownianBridgeSegment​(PillarVertex leftPillar, PillarVertex rightPillar, R1ToR1 rightPillarLocalVolatility) throws java.lang.Exception
      PykhtinBrownianBridgeSegment Constructor
      Parameters:
      leftPillar - The Left Pillar Vertex
      rightPillar - The Right Pillar Vertex
      rightPillarLocalVolatility - The Right Pillar Local Volatility
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • leftPillar

      public PillarVertex leftPillar()
      Retrieve the Left Pillar Vertex
      Returns:
      The Left Pillar Vertex

    • rightPillar

      public PillarVertex rightPillar()
      Retrieve the Right Pillar Vertex
      Returns:
      The Right Pillar Vertex

    • rightPillarLocalVolatility

      public R1ToR1 rightPillarLocalVolatility()
      Retrieve the Right Pillar Local Volatility
      Returns:
      The Right Pillar Local Volatility

    • denseExposureTrajectoryUpdate

      public boolean denseExposureTrajectoryUpdate​(java.util.Map<java.lang.Integer,​java.lang.Double> denseExposureTrajectory, java.util.Map<java.lang.Integer,​java.lang.Double> wanderTrajectory)
      Generate the Dense (Complete) Segment Exposures
      Parameters:
      denseExposureTrajectory - The Dense Exposure Trajectory
      wanderTrajectory - The Wander Date Trajectory
      Returns:
      The Dense (Complete) Segment Exposures