Package org.drip.sample.xvafixfloat

Cross Product XVA Simulation Digest
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AlbaneseAndersenBaselProxy
    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.
    GoldPlatedBaselProxy
    GoldPlatedBaselProxy 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 Gold Plated Two Way CSA Vertexes.
    HedgeErrorBaselProxy
    HedgeErrorBaselProxy 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 Dual Bond Hedge Error Vertexes.
    OneWayBaselProxy
    OneWayBaselProxy 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 One Way CSA Vertexes.
    SemiReplicationBaselProxy
    SemiReplicationBaselProxy 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 Semi Replication Dual Bond Vertexes.
    SetOffBaselProxy
    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.