Package org.drip.exposure.universe

Class MarketEdge

java.lang.Object
org.drip.exposure.universe.MarketEdge
public class MarketEdge
extends java.lang.Object
MarketEdge holds the Vertex Realizations of the Market States of the Reference Universe along an Evolution Edge. 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
  • 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
    MarketEdge​(MarketVertex startingMarketVertex, MarketVertex finishingMarketVertex)
    MarketEdge Constructor

  • Method Summary

    Modifier and Type Method Description
    MarketVertex finish()
    Retrieve the Market State Vertex Finish
    MarketVertex start()
    Retrieve the Market State Vertex Start
    int vertexIncrement()
    Retrieve the Market Vertex Increment

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MarketEdge

      public MarketEdge​(MarketVertex startingMarketVertex, MarketVertex finishingMarketVertex) throws java.lang.Exception
      MarketEdge Constructor
      Parameters:
      startingMarketVertex - The Starting Market Vertex Instance
      finishingMarketVertex - The Finishing Market Vertex Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • vertexIncrement

      public int vertexIncrement()
      Retrieve the Market Vertex Increment
      Returns:
      The Market Vertex Increment

    • start

      public MarketVertex start()
      Retrieve the Market State Vertex Start
      Returns:
      The Market State Vertex Start

    • finish

      public MarketVertex finish()
      Retrieve the Market State Vertex Finish
      Returns:
      The Market State Vertex Finish