Package org.drip.exposure.universe

Class MarketVertexEntity

java.lang.Object
org.drip.exposure.universe.MarketVertexEntity
public class MarketVertexEntity
extends java.lang.Object
MarketVertexEntity holds the Realizations at a Market Trajectory Vertex of the given XVA Entity (i.e., Dealer/Client). 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
    MarketVertexEntity​(double survivalProbability, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double seniorFundingReplicator, double subordinateRecoveryRate, double subordinateFundingSpread, double subordinateFundingReplicator)
    MarketVertexEntity Constructor

  • Method Summary

    Modifier and Type Method Description
    double hazardRate()
    Retrieve the Realized Entity Hazard Rate Vertex Latent State
    static MarketVertexEntity Senior​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double baseRate)
    Instance of Senior MarketVertexEntity
    static MarketVertexEntity Senior​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double baseRate, MarketVertexEntity previousMarketVertexEntity)
    Instance of Senior MarketVertexEntity
    double seniorFundingReplicator()
    Retrieve the Realized Entity Senior Funding Replicator Vertex Latent State
    double seniorFundingSpread()
    Retrieve the Realized Entity Senior Funding Spread Vertex Latent State
    double seniorRecoveryRate()
    Retrieve the Realized Entity Senior Recovery Rate Vertex Latent State
    static MarketVertexEntity SeniorSubordinate​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double subordinateRecoveryRate, double subordinateFundingSpread, double baseRate)
    Instance of Senior + Subordinate MarketVertexEntity
    static MarketVertexEntity SeniorSubordinate​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double subordinateRecoveryRate, double subordinateFundingSpread, double baseRate, MarketVertexEntity previousMarketVertexEntity)
    Instance of Senior + Subordinate MarketVertexEntity
    double subordinateFundingReplicator()
    Retrieve the Realized Entity Subordinate Funding Replicator Vertex Latent State
    double subordinateFundingSpread()
    Retrieve the Realized Entity Subordinate Funding Spread Vertex Latent State
    double subordinateRecoveryRate()
    Retrieve the Realized Entity Subordinate Recovery Rate Vertex Latent State
    double survivalProbability()
    Retrieve the Realized Entity Survival Probability

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MarketVertexEntity

      public MarketVertexEntity​(double survivalProbability, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double seniorFundingReplicator, double subordinateRecoveryRate, double subordinateFundingSpread, double subordinateFundingReplicator) throws java.lang.Exception
      MarketVertexEntity Constructor
      Parameters:
      survivalProbability - The Realized Entity Survival Probability
      hazardRate - The Realized Entity Hazard Rate Latent State
      seniorRecoveryRate - The Entity Senior Recovery Rate Latent State
      seniorFundingSpread - The Entity Senior Funding Spread Latent State
      seniorFundingReplicator - The Entity Senior Funding Replicator Vertex Latent State
      subordinateRecoveryRate - The Entity Subordinate Recovery Rate Latent State
      subordinateFundingSpread - The Entity Subordinate Funding Spread Latent State
      subordinateFundingReplicator - The Entity Subordinate Funding Replicator Vertex Latent State
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Senior

      public static final MarketVertexEntity Senior​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double baseRate, MarketVertexEntity previousMarketVertexEntity)
      Instance of Senior MarketVertexEntity
      Parameters:
      timeWidth - The Time Width of the Node
      hazardRate - The Hazard Rate Latent State
      seniorRecoveryRate - The Recovery Rate Latent State
      seniorFundingSpread - The Funding Spread Latent State
      baseRate - The Period Base Discount Rate
      previousMarketVertexEntity - The Previous Instance of MarketVertexEntity
      Returns:
      Instance of Senior MarketVertexEntity

    • Senior

      public static final MarketVertexEntity Senior​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double baseRate)
      Instance of Senior MarketVertexEntity
      Parameters:
      timeWidth - The Time Width of the Node
      hazardRate - The Hazard Rate Latent State
      seniorRecoveryRate - The Recovery Rate Latent State
      seniorFundingSpread - The Funding Spread Latent State
      baseRate - The Period Base Discount Rate
      Returns:
      Instance of Senior MarketVertexEntity

    • SeniorSubordinate

      public static final MarketVertexEntity SeniorSubordinate​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double subordinateRecoveryRate, double subordinateFundingSpread, double baseRate, MarketVertexEntity previousMarketVertexEntity)
      Instance of Senior + Subordinate MarketVertexEntity
      Parameters:
      timeWidth - The Time Width
      hazardRate - The Hazard Rate Latent State
      seniorRecoveryRate - The Senior Recovery Rate Latent State
      seniorFundingSpread - The Senior Funding Spread Latent State
      subordinateRecoveryRate - The Subordinate Recovery Rate Latent State
      subordinateFundingSpread - The Subordinate Funding Spread Latent State
      baseRate - The Period Base Discount Rate
      previousMarketVertexEntity - The Previous Instance of MarketVertexEntity
      Returns:
      Instance of Senior MarketVertexEntity

    • SeniorSubordinate

      public static final MarketVertexEntity SeniorSubordinate​(double timeWidth, double hazardRate, double seniorRecoveryRate, double seniorFundingSpread, double subordinateRecoveryRate, double subordinateFundingSpread, double baseRate)
      Instance of Senior + Subordinate MarketVertexEntity
      Parameters:
      timeWidth - The Time Width
      hazardRate - The Hazard Rate Latent State
      seniorRecoveryRate - The Senior Recovery Rate Latent State
      seniorFundingSpread - The Senior Funding Spread Latent State
      subordinateRecoveryRate - The Subordinate Recovery Rate Latent State
      subordinateFundingSpread - The Subordinate Funding Spread Latent State
      baseRate - The Period Base Discount Rate
      Returns:
      Instance of Senior MarketVertexEntity

    • survivalProbability

      public double survivalProbability()
      Retrieve the Realized Entity Survival Probability
      Returns:
      The Realized Entity Survival Probability

    • hazardRate

      public double hazardRate()
      Retrieve the Realized Entity Hazard Rate Vertex Latent State
      Returns:
      The Realized Entity Hazard Rate Vertex Latent State

    • seniorRecoveryRate

      public double seniorRecoveryRate()
      Retrieve the Realized Entity Senior Recovery Rate Vertex Latent State
      Returns:
      The Realized Entity Senior Recovery Rate Vertex Latent State

    • seniorFundingSpread

      public double seniorFundingSpread()
      Retrieve the Realized Entity Senior Funding Spread Vertex Latent State
      Returns:
      The Realized Entity Senior Funding Spread Vertex Latent State

    • seniorFundingReplicator

      public double seniorFundingReplicator()
      Retrieve the Realized Entity Senior Funding Replicator Vertex Latent State
      Returns:
      The Realized Entity Senior Funding Replicator Vertex Latent State

    • subordinateRecoveryRate

      public double subordinateRecoveryRate()
      Retrieve the Realized Entity Subordinate Recovery Rate Vertex Latent State
      Returns:
      The Realized Entity Subordinate Recovery Rate Vertex Latent State

    • subordinateFundingSpread

      public double subordinateFundingSpread()
      Retrieve the Realized Entity Subordinate Funding Spread Vertex Latent State
      Returns:
      The Realized Entity Subordinate Funding Spread Vertex Latent State

    • subordinateFundingReplicator

      public double subordinateFundingReplicator()
      Retrieve the Realized Entity Subordinate Funding Replicator Vertex Latent State
      Returns:
      The Realized Entity Subordinate Funding Replicator Vertex Latent State