Package org.drip.sample.mporfixfloatxva

OTC Fix-Float MPoR XVA
  • Class Summary
    Class Description
    OTCPayerCSAAggressive
    OTCPayerCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCPayerCSAClassicalMinus
    OTCPayerCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCPayerCSAClassicalPlus
    OTCPayerCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCPayerCSAConservative
    OTCPayerCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverCSAAggressive
    OTCReceiverCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverCSAClassicalMinus
    OTCReceiverCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverCSAClassicalPlus
    OTCReceiverCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverCSAConservative
    OTCReceiverCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).