Package org.drip.exposure.regression

Class PykhtinPillar

java.lang.Object
org.drip.exposure.regression.PykhtinPillar
public class PykhtinPillar
extends java.lang.Object
PykhtinPillar holds the Details of the Pillar Vertex Realization Point - the Realization Value, the Order Index, the CDF, the Transform Variate, and the Local Volatility - in accordance with 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
    PykhtinPillar​(double exposure, int order, double cdf, double variate, double localVolatility)
    PykhtinPillar Constructor

  • Method Summary

    Modifier and Type Method Description
    double cdf()
    Retrieve the Point Exposure CDF
    double exposure()
    Retrieve the Point Exposure
    double localVolatility()
    Retrieve the Point Exposure Local Volatility
    int order()
    Retrieve the Point Exposure Order
    double variate()
    Retrieve the Point Exposure Variate

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PykhtinPillar

      public PykhtinPillar​(double exposure, int order, double cdf, double variate, double localVolatility) throws java.lang.Exception
      PykhtinPillar Constructor
      Parameters:
      exposure - The Realization Point Exposure
      order - The Realization Point Order
      cdf - The Realization Point CDF
      variate - The Realization Point Variate
      localVolatility - The Realization Point Local Volatility
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • exposure

      public double exposure()
      Retrieve the Point Exposure
      Returns:
      The Point Exposure

    • order

      public int order()
      Retrieve the Point Exposure Order
      Returns:
      The Point Exposure Order

    • cdf

      public double cdf()
      Retrieve the Point Exposure CDF
      Returns:
      The Point Exposure CDF

    • variate

      public double variate()
      Retrieve the Point Exposure Variate
      Returns:
      The Point Exposure Variate

    • localVolatility

      public double localVolatility()
      Retrieve the Point Exposure Local Volatility
      Returns:
      The Point Exposure Local Volatility