Package org.drip.sample.xvastrategy

Burgard Kjaer (2013) XVA Strategies

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
FundingGroupBilateralCSA	FundingGroupBilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the "Bilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupHedgeError	FundingGroupHedgeError demonstrates the Simulation Run of the Funding Group Exposure using the "Hedge Error" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupPerfectReplication	FundingGroupPerfectReplication demonstrates the Simulation Run of the Funding Group Exposure using the "Perfect Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupSemiReplication	FundingGroupSemiReplication demonstrates the Simulation Run of the Funding Group Exposure using the "Semi Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupSetOff	FundingGroupSetOff demonstrates the Simulation Run of the Funding Group Exposure using the "Set Off" Funding Strategy laid out in Burgard and Kjaer (2013).
FundingGroupUnilateralCSA	FundingGroupUnilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the "Unilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).