Package org.drip.exposure.universe

Class MarketPath

java.lang.Object
org.drip.exposure.universe.MarketPath
public class MarketPath
extends java.lang.Object
MarketPath holds the Vertex Market Realizations at the Trajectory Vertexes along the Path of a Simulation. 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

    • MarketPath

      public MarketPath​(java.util.Map<java.lang.Integer,​MarketVertex> marketVertexTrajectory) throws java.lang.Exception
      MarketPath Constructor
      Parameters:
      marketVertexTrajectory - Date Map of the Market Vertexes
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FromMarketVertexArray

      public static final MarketPath FromMarketVertexArray​(MarketVertex[] marketVertexArray)
      Generate the Market Path from Market Vertex Array
      Parameters:
      marketVertexArray - The Market Vertex Array
      Returns:
      The Market Path

    • anchorDates

      public JulianDate[] anchorDates()
      Retrieve the Array of the Vertex Anchor Dates
      Returns:
      The Array of the Vertex Anchor Dates

    • trajectory

      public java.util.Map<java.lang.Integer,​MarketVertex> trajectory()
      Retrieve the Trajectory of the Market Vertexes
      Returns:
      The Market Vertex Trajectory

    • marketVertexArray

      public MarketVertex[] marketVertexArray()
      Retrieve the Array of the Market Vertexes
      Returns:
      The Market Vertex Array

    • epochalMarketVertex

      public MarketVertex epochalMarketVertex()
      Retrieve the Epochal Market Vertex
      Returns:
      The Epochal Market Vertex

    • terminalMarketVertex

      public MarketVertex terminalMarketVertex()
      Retrieve the Terminal Market Vertex
      Returns:
      The Terminal Market Vertex

    • containsDate

      public boolean containsDate​(int vertexDate)
      Indicate if the Market Vertex is available for the Specified Date
      Parameters:
      vertexDate - The Vertex Date
      Returns:
      TRUE - The Market Vertex is available for the Specified Date

    • marketVertex

      public MarketVertex marketVertex​(int vertexDate)
      Retrieve the Market Vertex for the Specified Date
      Parameters:
      vertexDate - The Vertex Date
      Returns:
      The Market Vertex for the Specified Date