Package org.drip.exposure.regression

Class PykhtinBrownianBridgeStretch

java.lang.Object
org.drip.exposure.regression.PykhtinBrownianBridgeStretch
public class PykhtinBrownianBridgeStretch
extends java.lang.Object
PykhtinBrownianBridgeStretch generates the Regression Based Path Exposures off of the 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
    PykhtinBrownianBridgeStretch​(java.util.Map<java.lang.Integer,​java.lang.Double> sparseVertexExposureTrajectory, java.util.Map<java.lang.Integer,​R1ToR1> localVolatilityTrajectory)
    PykhtinBrownianBridgeStretch Constructor

  • Method Summary

    Modifier and Type Method Description
    java.util.Map<java.lang.Integer,​java.lang.Double> denseExposure​(java.util.Map<java.lang.Integer,​java.lang.Double> wanderTrajectory)
    Generate the Dense (Complete) Segment Exposures
    java.util.Map<java.lang.Integer,​R1ToR1> localVolatilityTrajectory()
    Retrieve the Path Sparse Vertex Local Volatility Trajectory
    java.util.Map<java.lang.Integer,​java.lang.Double> sparseVertexExposureTrajectory()
    Retrieve the Path Sparse Vertex Exposure Trajectory

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PykhtinBrownianBridgeStretch

      public PykhtinBrownianBridgeStretch​(java.util.Map<java.lang.Integer,​java.lang.Double> sparseVertexExposureTrajectory, java.util.Map<java.lang.Integer,​R1ToR1> localVolatilityTrajectory) throws java.lang.Exception
      PykhtinBrownianBridgeStretch Constructor
      Parameters:
      sparseVertexExposureTrajectory - The Sparse Vertex Exposure Amount Trajectory
      localVolatilityTrajectory - The R^1 To R^1 Local Volatility Trajectory
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • sparseVertexExposureTrajectory

      public java.util.Map<java.lang.Integer,​java.lang.Double> sparseVertexExposureTrajectory()
      Retrieve the Path Sparse Vertex Exposure Trajectory
      Returns:
      The Path Sparse Vertex Exposure Trajectory

    • localVolatilityTrajectory

      public java.util.Map<java.lang.Integer,​R1ToR1> localVolatilityTrajectory()
      Retrieve the Path Sparse Vertex Local Volatility Trajectory
      Returns:
      The Path Sparse Vertex Local Volatility Trajectory

    • denseExposure

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