Package org.drip.sample.burgard2012

Burgard Kjaer (2012) Valuation Adjustments

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CounterPartyHazardHigh	CounterPartyHazardHigh estimates the CVA Relative to V for a Call Option bought by the Bank for different Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the Counter Party Hazard is High (5%).
CounterPartyHazardLow	CounterPartyHazardLow estimates the CVA Relative to V for a Call Option bought by the Bank for different Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the Counter Party Hazard is Low (Zero).
CounterPartyHazardMedium	CounterPartyHazardMedium estimates the CVA Relative to V for a Call Option bought by the Bank for different Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the Counter Party Hazard is Medium (2.5%).
EulerTrajectoryEvolutionScheme	EulerTrajectoryEvolutionScheme computes the Sequence of XVA Paths 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.
FixFloatVABank	FixFloatVABank illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the Bank Spread using the Set of Netting Group Exposure Simulations.
FixFloatVACounterParty	FixFloatVACounterParty illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the Counter Party Spread using the Set of Netting Group Exposure Simulations.