Package org.drip.exposure.universe

Class MarketCorrelation

java.lang.Object
org.drip.exposure.universe.MarketCorrelation
public class MarketCorrelation
extends java.lang.Object
MarketCorrelation holds the Cross Latent State Correlations 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 Details

    • MarketCorrelation

      public MarketCorrelation​(java.util.List<LatentStateLabel> latentStateLabelList, double[][] matrix) throws java.lang.Exception
      MarketCorrelation Constructor
      Parameters:
      latentStateLabelList - The Latent State Label List
      matrix - The Square Correlation Matrix
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • latentStateLabelList

      public java.util.List<LatentStateLabel> latentStateLabelList()
      Retrieve the Latent State Label List
      Returns:
      The Latent State Label List

    • matrix

      public double[][] matrix()
      Retrieve the Cross-Latent State Correlation Matrix
      Returns:
      The Cross-Latent State Correlation Matrix

    • latentStateExists

      public boolean latentStateExists​(LatentStateLabel latentStateLabel)
      Check if the Latent State is available in the Correlation Matrix
      Parameters:
      latentStateLabel - The Latent State Label
      Returns:
      TRUE - The Latent State is available in the Correlation Matrix

    • entry

      public double entry​(LatentStateLabel latentStateLabel1, LatentStateLabel latentStateLabel2)
      Retrieve the Cross State Correlation
      Parameters:
      latentStateLabel1 - Latent State Label #1
      latentStateLabel2 - Latent State Label #2
      Returns:
      The Cross State Correlation

    • customMarketCorrelation

      public MarketCorrelation customMarketCorrelation​(java.util.List<LatentStateLabel> customLatentStateLabelList)
      Synthesize a MarketCorrelation Instance for the Custom Latent State List
      Parameters:
      customLatentStateLabelList - The Custom Latent State List
      Returns:
      The MarketCorrelation Instance for the Custom Latent State List