Package org.drip.sample.numeraire

R1 Joint Jump Diffusion Numeraire
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    R1JointDiffusion
    R1JointDiffusion demonstrates the Joint Evolution of R1 Diffusion Variates - 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.
    R1JointJumpDiffusion
    R1JointJumpDiffusion demonstrates the Joint Evolution of R1 Jump Diffusion Variates - 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.
    R1Jump
    R1Jump demonstrates the Jump Evolution of a Default-able Asset.