Package org.drip.exposure.universe

Exposure Generation - Market States Simulation

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
LatentStateWeiner	LatentStateWeiner generates the Edge Latent State Weiner Increments across Trajectory Vertexes needed for computing the Valuation Adjustment.
MarketCorrelation	MarketCorrelation holds the Cross Latent State Correlations needed for computing the Valuation Adjustment.
MarketEdge	MarketEdge holds the Vertex Realizations of the Market States of the Reference Universe along an Evolution Edge.
MarketPath	MarketPath holds the Vertex Market Realizations at the Trajectory Vertexes along the Path of a Simulation.
MarketVertex	MarketVertex holds the Market Realizations at a Market Trajectory Vertex needed for computing the Valuation Adjustment.
MarketVertexEntity	MarketVertexEntity holds the Realizations at a Market Trajectory Vertex of the given XVA Entity (i.e., Dealer/Client).
MarketVertexGenerator	MarketVertexGenerator generates the Market Realizations at a Trajectory Vertex needed for computing the Valuation Adjustment.