Package org.drip.exposure.regression

Class PykhtinPillarDynamics

java.lang.Object
org.drip.exposure.regression.PykhtinPillarDynamics
public class PykhtinPillarDynamics
extends java.lang.Object
PykhtinPillarDynamics generates the Dynamics off of the Pillar Vertex Exposure Realizations to be used in eventual Exposure Regression 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

  • Method Details

    • Standard

      public static final PykhtinPillarDynamics Standard​(double[] exposureArray)
      Construct an Instance of PykhtinPillarDynamics from the Exposure Array
      Parameters:
      exposureArray - The Exposure Array
      Returns:
      The VertexRealization Instance

    • exposureList

      public java.util.List<java.lang.Double> exposureList()
      Retrieve the Exposure Set
      Returns:
      The Exposure Set

    • pillarVertexArray

      public PykhtinPillar[] pillarVertexArray​(LocalVolatilityGenerationControl localVolatilityGenerationControl)
      Retrieve the Pykhtin Pillar Vertex Array
      Parameters:
      localVolatilityGenerationControl - The Local Volatility Generation Control
      Returns:
      The Pykhtin Pillar Vertex Array

    • localVolatilityR1ToR1

      public R1ToR1 localVolatilityR1ToR1​(LocalVolatilityGenerationControl localVolatilityGenerationControl, PykhtinPillar[] pillarVertexArray)
      Generate a Local Volatility R^1 To R^1
      Parameters:
      localVolatilityGenerationControl - The Local Volatility Generation Control
      pillarVertexArray - The Array of Pykhtin Pillar Vertexes
      Returns:
      The Local Volatility R^1 To R^1

    • localVolatilityR1ToR1

      public R1ToR1 localVolatilityR1ToR1​(LocalVolatilityGenerationControl localVolatilityGenerationControl)
      Generate a Local Volatility R^1 To R^1
      Parameters:
      localVolatilityGenerationControl - The Local Volatility Generation Control
      Returns:
      The Local Volatility R^1 To R^1