Package org.drip.sample.xvafixfloat

Class AlbaneseAndersenBaselProxy

java.lang.Object
org.drip.sample.xvafixfloat.AlbaneseAndersenBaselProxy
public class AlbaneseAndersenBaselProxy
extends java.lang.Object
AlbaneseAndersenBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Albanese Andersen Vertexes. The References are:

  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option eSSRN https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  • Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management, and Collateral Trading eSSRN https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301
  • 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
  • Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting eSSRN https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AlbaneseAndersenBaselProxy()  

  • Method Summary

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

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AlbaneseAndersenBaselProxy

      public AlbaneseAndersenBaselProxy()

  • Method Details

    • main

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