Package org.drip.sample.burgard2011

Burgard Kjaer (2011) PDE Evolver
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CorrelatedNumeraireXVAAttribution
    CorrelatedNumeraireXVAAttribution constructs the XVA PnL Attribution arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
    CorrelatedNumeraireXVAExplain
    CorrelatedNumeraireXVAExplain constructs the XVA PnL Explain arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
    CorrelatedNumeraireXVAGreeks
    CorrelatedNumeraireXVAGreeks constructs the XVA Greeks arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
    CorrelatedNumeraireXVAReplicationPortfolio
    CorrelatedNumeraireXVAReplicationPortfolio calculates the XVA Replication Portfolio arising out of the Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
    XVAExplain
    XVAExplain demonstrates the Trajectory Attribution of the Bank and Counter-Party Default Based Derivative Evolution of the Dynamic XVA Replication Porfolio.
    XVAGreeks
    XVAGreeks demonstrates the Bank and Counter-Party Default Based Derivative Evolution of the XVA Greeks and their Components.
    XVAMarketGeneration
    XVAMarketGeneration generates the Asset, the Bank, and the Counter Party Credit/Funding Metrics used in an XVA Run.
    XVAReplicationPortfolio
    XVAReplicationPortfolio demonstrates the Bank and Counter-Party Default Based Derivative Evolution of the Dynamic XVA Replication Porfolio.