Package org.drip.exposure.regression

Regression Based Path Exposure Generation
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AndersenPykhtinSokolSegment
    AndersenPykhtinSokolSegment generates the Segment Regression Based Exposures off of the corresponding Pillar Vertexes using the Pykhtin (2009) Scheme with the Andersen, Pykhtin, and Sokol (2017) Adjustments applied.
    AndersenPykhtinSokolStretch
    AndersenPykhtinSokolStretch generates the Regression Based Path Exposures off of the Pillar Vertexes using the Pykhtin (2009) Scheme.
    LocalVolatilityGenerationControl
    LocalVolatilityGenerationControl holds the Parameters the control the Calculation of the Local Volatility in the Pykhtin (2009) Brownian Bridge Calibration.
    PillarVertex
    PillarVertex hold the Date and the Exposure of each Vertex Pillar.
    PykhtinBrownianBridgeSegment
    PykhtinBrownianBridgeSegment generates the Segment Regression Based Exposures off of the corresponding Pillar Vertexes using the Pykhtin (2009) Scheme.
    PykhtinBrownianBridgeStretch
    PykhtinBrownianBridgeStretch generates the Regression Based Path Exposures off of the Pillar Vertexes using the Pykhtin (2009) Scheme.
    PykhtinPillar
    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.
    PykhtinPillarDynamics
    PykhtinPillarDynamics generates the Dynamics off of the Pillar Vertex Exposure Realizations to be used in eventual Exposure Regression using the Pykhtin (2009) Scheme.