Package org.drip.sample.xvadigest

Basel XVA Accounting Metrics Digest

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CPGACollateralized	CPGACollateralized illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps.
CPGACollateralizedCorrelated	CPGACollateralizedCorrelated illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps where the Market Numeraires have Correlated Realizations.
CPGAUncollateralized	CPGAUncollateralized illustrates the Counter Party Aggregation over Netting Groups based Uncollateralized Collateral Groups with several Fix-Float Swaps.
CPGAUncollateralizedCorrelated	CPGAUncollateralizedCorrelated illustrates the Counter Party Aggregation over Netting Groups based Uncollateralized Collateral Groups with several Fix-Float Swaps where the Market Numeraires have Correlated Realizations.
CPGAZeroThreshold	CPGAZeroThreshold illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps under Zero Collateral Threshold.
CPGAZeroThresholdCorrelated	CPGAZeroThresholdCorrelated illustrates the Counter Party Aggregation over Netting Groups based Collateralized Collateral Groups with several Fix-Float Swaps under Zero Collateral Threshold, and with built in Factor Correlations across the Numeraires.