Package org.drip.exposure.universe

Class LatentStateWeiner

java.lang.Object
org.drip.exposure.universe.LatentStateWeiner
public class LatentStateWeiner
extends java.lang.Object
LatentStateWeiner generates the Edge Latent State Weiner Increments across Trajectory Vertexes needed for computing the Valuation Adjustment. The References are:

  • Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies Risk 23 (12) 82-87
  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  • Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter- party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    LatentStateWeiner()
    Empty LatentStateWeiner Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean add​(LatentStateLabel latentStateLabel, double[] weinerIncrementArray)
    Add the Weiner Increment corresponding to the Specified Latent State Label
    boolean containsLatentState​(LatentStateLabel latentStateLabel)
    Indicate if the specified Latent State is available in the Weiner Increment Map
    static LatentStateWeiner FromUnitRandom​(java.util.List<LatentStateLabel> latentStateLabelList, double[][] latentStateWeinerIncrementArray)
    Construct an Instance of LatentStateWeiner from the Arrays of Latent State and their Weiner Increments
    double[] incrementArray​(LatentStateLabel latentStateLabel)
    Retrieve the Weiner Increment Array for the Specified Latent State
    java.util.Map<java.lang.String,​double[]> latentStateWeinerMap()
    Retrieve the Latent State Weiner Increment Map
    int stateCount()
    Retrieve the Count of the Latent States Available

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LatentStateWeiner

      public LatentStateWeiner()
      Empty LatentStateWeiner Constructor

  • Method Details

    • FromUnitRandom

      public static final LatentStateWeiner FromUnitRandom​(java.util.List<LatentStateLabel> latentStateLabelList, double[][] latentStateWeinerIncrementArray)
      Construct an Instance of LatentStateWeiner from the Arrays of Latent State and their Weiner Increments
      Parameters:
      latentStateLabelList - Latent State Label List
      latentStateWeinerIncrementArray - Latent State Weiner Increment Array
      Returns:
      Instance of LatentStateWeiner

    • stateCount

      public int stateCount()
      Retrieve the Count of the Latent States Available
      Returns:
      The Count of the Latent States Available

    • add

      public boolean add​(LatentStateLabel latentStateLabel, double[] weinerIncrementArray)
      Add the Weiner Increment corresponding to the Specified Latent State Label
      Parameters:
      latentStateLabel - The Latent State Label
      weinerIncrementArray - The Weiner Increment Array
      Returns:
      TRUE -The Weiner Increment corresponding to the Specified Latent State Label

    • latentStateWeinerMap

      public java.util.Map<java.lang.String,​double[]> latentStateWeinerMap()
      Retrieve the Latent State Weiner Increment Map
      Returns:
      The Latent State Weiner Increment Map

    • containsLatentState

      public boolean containsLatentState​(LatentStateLabel latentStateLabel)
      Indicate if the specified Latent State is available in the Weiner Increment Map
      Parameters:
      latentStateLabel - Latent State Label
      Returns:
      TRUE - The specified Latent State is available in the Weiner Increment Map

    • incrementArray

      public double[] incrementArray​(LatentStateLabel latentStateLabel)
      Retrieve the Weiner Increment Array for the Specified Latent State
      Parameters:
      latentStateLabel - Latent State Label
      Returns:
      The Weiner Increment Array for the Specified Latent State