Package org.drip.exposure.universe

Class MarketVertex

java.lang.Object
org.drip.exposure.universe.MarketVertex
public class MarketVertex
extends java.lang.Object
MarketVertex holds the Market Realizations at a Market Trajectory Vertex 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

  • Method Summary

    Modifier and Type Method Description
    JulianDate anchorDate()
    Retrieve the Date Anchor
    MarketVertexEntity client()
    Retrieve the Realized Client Market Vertex
    double csaRate()
    Retrieve the Realized CSA Scheme Rate
    double csaReplicator()
    Retrieve the Realized CSA Scheme Numeraire
    double csaSpread()
    Retrieve the Realized Spread over the Overnight Policy Rate corresponding to the CSA Scheme
    MarketVertexEntity dealer()
    Retrieve the Realized Dealer Senior Market Vertex
    static MarketVertex Epochal​(JulianDate anchorDate, double overnightReplicator, double csaReplicator, double dealerHazardRate, double dealerSeniorRecoveryRate, double dealerSeniorFundingSpread, double dealerSubordinateRecoveryRate, double dealerSubordinateFundingSpread, double clientHazardRate, double clientRecoveryRate, double clientFundingSpread, LatentStateVertexContainer latentStateVertexContainer)
    Generate an Initial Instance of MarketVertex
    static MarketVertex Epochal​(JulianDate anchorDate, double overnightReplicator, double csaReplicator, double dealerHazardRate, double dealerRecoveryRate, double dealerFundingSpread, double clientHazardRate, double clientRecoveryRate, double clientFundingSpread, LatentStateVertexContainer latentStateVertexContainer)
    Generate an Initial Instance of MarketVertex
    double latentStateValue​(LatentStateLabel latentStateLabel)
    Retrieve the Realized Value for the Latent State
    static MarketVertex Nodal​(JulianDate anchorDate, double overnightRate, double overnightReplicator, double csaSpread, double csaReplicator, MarketVertexEntity dealerMarketVertex, MarketVertexEntity clientMarketVertex, LatentStateVertexContainer latentStateVertexContainer)
    Construct a Nodal Market Vertex
    double overnightRate()
    Retrieve the Realized Overnight Index Rate
    double overnightReplicator()
    Retrieve the Realized Overnight Index Numeraire

    Methods inherited from class java.lang.Object

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

  • Method Details

    • Epochal

      public static final MarketVertex Epochal​(JulianDate anchorDate, double overnightReplicator, double csaReplicator, double dealerHazardRate, double dealerRecoveryRate, double dealerFundingSpread, double clientHazardRate, double clientRecoveryRate, double clientFundingSpread, LatentStateVertexContainer latentStateVertexContainer)
      Generate an Initial Instance of MarketVertex
      Parameters:
      anchorDate - The Anchor Date
      overnightReplicator - The Realized Overnight Latent State Replicator
      csaReplicator - The Realized CSA Latent State Replicator
      dealerHazardRate - Realized Dealer Hazard Rate
      dealerRecoveryRate - Realized Dealer Recovery Rate
      dealerFundingSpread - Realized Dealer Funding Spread
      clientHazardRate - Realized Client Hazard Rate
      clientRecoveryRate - Realized Client Recovery Rate
      clientFundingSpread - Realized Client Funding Spread
      latentStateVertexContainer - Latent State Vertex Container
      Returns:
      The Initial MarketVertex Instance

    • Epochal

      public static final MarketVertex Epochal​(JulianDate anchorDate, double overnightReplicator, double csaReplicator, double dealerHazardRate, double dealerSeniorRecoveryRate, double dealerSeniorFundingSpread, double dealerSubordinateRecoveryRate, double dealerSubordinateFundingSpread, double clientHazardRate, double clientRecoveryRate, double clientFundingSpread, LatentStateVertexContainer latentStateVertexContainer)
      Generate an Initial Instance of MarketVertex
      Parameters:
      anchorDate - The Anchor Date
      overnightReplicator - The Realized Overnight Latent State Replicator
      csaReplicator - The Realized CSA Latent State Replicator
      dealerHazardRate - Realized Dealer Hazard Rate
      dealerSeniorRecoveryRate - Realized Dealer Senior Recovery Rate
      dealerSeniorFundingSpread - Realized Dealer Senior Funding Spread
      dealerSubordinateRecoveryRate - Realized Dealer Subordinate Recovery Rate
      dealerSubordinateFundingSpread - Realized Dealer Subordinate Funding Spread
      clientHazardRate - Realized Client Hazard Rate
      clientRecoveryRate - Realized Client Recovery Rate
      clientFundingSpread - Realized Client Funding Spread
      latentStateVertexContainer - Latent State Vertex Container
      Returns:
      The Initial MarketVertex Instance

    • Nodal

      public static final MarketVertex Nodal​(JulianDate anchorDate, double overnightRate, double overnightReplicator, double csaSpread, double csaReplicator, MarketVertexEntity dealerMarketVertex, MarketVertexEntity clientMarketVertex, LatentStateVertexContainer latentStateVertexContainer)
      Construct a Nodal Market Vertex
      Parameters:
      anchorDate - The Vertex Date Anchor
      overnightRate - The Realized Overnight Rate
      overnightReplicator - The Realized Overnight Latent State Replicator
      csaSpread - The Realized CSA Spread
      csaReplicator - The Realized CSA Latent State Replicator
      dealerMarketVertex - Dealer Market Vertex Instance
      clientMarketVertex - Client Market Vertex Instance
      latentStateVertexContainer - Latent State Vertex Container
      Returns:
      The Nodal Market Vertex Instance

    • anchorDate

      public JulianDate anchorDate()
      Retrieve the Date Anchor
      Returns:
      The Date Anchor

    • latentStateValue

      public double latentStateValue​(LatentStateLabel latentStateLabel) throws java.lang.Exception
      Retrieve the Realized Value for the Latent State
      Parameters:
      latentStateLabel - The Latent State Label
      Returns:
      The Realized Value for the Latent State
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • overnightRate

      public double overnightRate()
      Retrieve the Realized Overnight Index Rate
      Returns:
      The Realized Overnight Index Rate

    • overnightReplicator

      public double overnightReplicator()
      Retrieve the Realized Overnight Index Numeraire
      Returns:
      The Realized Overnight Index Numeraire

    • csaSpread

      public double csaSpread()
      Retrieve the Realized Spread over the Overnight Policy Rate corresponding to the CSA Scheme
      Returns:
      The Realized Spread over the Overnight Policy Rate corresponding to the CSA Scheme

    • csaReplicator

      public double csaReplicator()
      Retrieve the Realized CSA Scheme Numeraire
      Returns:
      The Realized CSA Scheme Numeraire

    • csaRate

      public double csaRate()
      Retrieve the Realized CSA Scheme Rate
      Returns:
      The Realized CSA Scheme Rate

    • dealer

      public MarketVertexEntity dealer()
      Retrieve the Realized Dealer Senior Market Vertex
      Returns:
      The Realized Dealer Senior Market Vertex

    • client

      public MarketVertexEntity client()
      Retrieve the Realized Client Market Vertex
      Returns:
      The Realized Client Market Vertex