Package org.drip.exposure.universe

Class MarketVertexGenerator

java.lang.Object

org.drip.exposure.universe.MarketVertexGenerator

public class MarketVertexGenerator
extends java.lang.Object

MarketVertexGenerator generates the Market Realizations at a 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

• Module = Portfolio Core Module
• Library = Exposure Analytics
• Project = Exposure Group Level Collateralized/Uncollateralized Exposure
• Package = Exposure Generation - Market States Simulation

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MarketVertexGenerator(int spotDate, int[] eventDateArray, EntityDynamicsContainer entityDynamicsContainer, PrimarySecurityDynamicsContainer primarySecurityDynamicsContainer, LatentStateDynamicsContainer latentStateDynamicsContainer)	MarketVertexGenerator Constructor

Method Summary

Modifier and Type	Method	Description
EntityDynamicsContainer	entityDynamicsContainer()	Retrieve the Entity Dynamics Container
LatentStateDynamicsContainer	latentStateDynamicsContainer()	Retrieve the Latent State Dynamics Container
java.util.Map<java.lang.Integer,MarketVertex>	marketVertex(MarketVertex initialMarketVertex, LatentStateWeiner latentStateWeiner)	Generate the Trajectory of the Simulated Market Vertexes
PrimarySecurityDynamicsContainer	primarySecurityDynamicsContainer()	Retrieve the Primary Security Dynamics Container
int	spotDate()	Retrieve the Spot Date
double[]	timeWidth()	Retrieve the Time Width Array
int[]	vertexDates()	Retrieve the Vertex Date Array

Methods inherited from class java.lang.Object

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

Constructor Details

MarketVertexGenerator

public MarketVertexGenerator(int spotDate,
int[] eventDateArray,
EntityDynamicsContainer entityDynamicsContainer,
PrimarySecurityDynamicsContainer primarySecurityDynamicsContainer,
LatentStateDynamicsContainer latentStateDynamicsContainer)
                      throws java.lang.Exception

MarketVertexGenerator Constructor

Parameters:

spotDate - The Spot Date

eventDateArray - Array of the Event Dates

entityDynamicsContainer - The Dealer/Client Entity Latent State Dynamics Container

primarySecurityDynamicsContainer - The Primary Security Dynamics Container

latentStateDynamicsContainer - The Latent State Dynamics Container

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

spotDate

public int spotDate()

Retrieve the Spot Date

Returns:

The Spot Date

timeWidth

public double[] timeWidth()

Retrieve the Time Width Array

Returns:

The Time Width Array

entityDynamicsContainer

public EntityDynamicsContainer entityDynamicsContainer()

Retrieve the Entity Dynamics Container

Returns:

The Entity Dynamics Container

primarySecurityDynamicsContainer

public PrimarySecurityDynamicsContainer primarySecurityDynamicsContainer()

Retrieve the Primary Security Dynamics Container

Returns:

The Primary Security Dynamics Container

latentStateDynamicsContainer

public LatentStateDynamicsContainer latentStateDynamicsContainer()

Retrieve the Latent State Dynamics Container

Returns:

The Latent State Dynamics Container

vertexDates

public int[] vertexDates()

Retrieve the Vertex Date Array

Returns:

The Vertex Date Array

marketVertex

public java.util.Map<java.lang.Integer,MarketVertex> marketVertex(MarketVertex initialMarketVertex,
LatentStateWeiner latentStateWeiner)

Generate the Trajectory of the Simulated Market Vertexes

Parameters:

initialMarketVertex - The Initial Market Vertex

latentStateWeiner - The Latent State Weiner Instance

Returns:

The Trajectory of the Simulated Market Vertexes