Package org.drip.sample.pykhtin2009

Class ExposurePathFixFloat

java.lang.Object
org.drip.sample.pykhtin2009.ExposurePathFixFloat
public class ExposurePathFixFloat
extends java.lang.Object
ExposurePathFixFloat sets up a Brownian Bridge Based Dense Exposure Generation from Sparse Nodes for a Fix-Float Swap. The References are:

  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 eSSRN
  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 eSSRN
  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
  • Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN
  • Pykhtin, M. (2009): Modeling Counter-party Credit Exposure in the Presence of Margin Agreements http://www.risk-europe.com/protected/michael-pykhtin.pdf




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ExposurePathFixFloat()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] args)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • ExposurePathFixFloat

      public ExposurePathFixFloat()

  • Method Details

    • main

      public static final void main​(java.lang.String[] args) throws java.lang.Exception
      Entry Point
      Parameters:
      args - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation