Package org.drip.sample.xvabasel

Class CollateralizedNettingReceivableStochastic

java.lang.Object
org.drip.sample.xvabasel.CollateralizedNettingReceivableStochastic
public class CollateralizedNettingReceivableStochastic
extends java.lang.Object
CollateralizedNettingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes. Simulation is carried out under the following Criteria: - Collateralization Status - Partially Collateralized - Aggregation Unit - Netting Group - Added Swap Type - Negative Upfront Swap (Receivable) - Market Dynamics - Fully Stochastic (Correlated Market Evolution)

  • Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CollateralizedNettingReceivableStochastic()  

  • Method Summary

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

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CollateralizedNettingReceivableStochastic

      public CollateralizedNettingReceivableStochastic()

  • Method Details

    • main

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