Package org.drip.sample.xvafixfloat

Class SetOffBaselProxy

java.lang.Object
org.drip.sample.xvafixfloat.SetOffBaselProxy
public class SetOffBaselProxy
extends java.lang.Object
SetOffBaselProxy 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 Burgard Kjaer Set Off CSA 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
    SetOffBaselProxy()  

  • 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

    • SetOffBaselProxy

      public SetOffBaselProxy()

  • 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