Package org.drip.state.identifier

Class CSALabel

java.lang.Object
org.drip.state.identifier.CSALabel
All Implemented Interfaces:
LatentStateLabel
public class CSALabel
extends java.lang.Object
implements LatentStateLabel
CSALabel specifies the Label of of a Credit Support Annex (CSA) Specification. It implements the following Functionality.
  • CSALabel constructor
  • Retrieve the CSA Currency
  • Retrieve the CSA Specification Association/Organization
  • Generate the ISDA CSA
The References are:
  • 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
  • Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

Module Product Core Module
Library Fixed Income Analytics
Project Latent State Inference and Creation Utilities
Package Latent State Identifier Labels
Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CSALabel​(java.lang.String currency, java.lang.String association)
    CSALabel Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String association()
    Retrieve the CSA Specification Association/Organization
    java.lang.String currency()
    Retrieve the CSA Currency
    java.lang.String fullyQualifiedName()
    Retrieve the Fully Qualified Name
    static CSALabel ISDA​(java.lang.String strCurrency)
    Generate the ISDA CSA
    boolean match​(LatentStateLabel latentStateLabelOther)
    Indicate whether this Label matches the supplied.

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CSALabel

      public CSALabel​(java.lang.String currency, java.lang.String association) throws java.lang.Exception
      CSALabel Constructor
      Parameters:
      currency - The CSA Currency
      association - The CSA Specifier
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • ISDA

      public static final CSALabel ISDA​(java.lang.String strCurrency)
      Generate the ISDA CSA
      Parameters:
      strCurrency - The Currency
      Returns:
      The ISDA CSA

    • currency

      public java.lang.String currency()
      Retrieve the CSA Currency
      Returns:
      The CSA Currency

    • association

      public java.lang.String association()
      Retrieve the CSA Specification Association/Organization
      Returns:
      The CSA Specification Association/Organization

    • fullyQualifiedName

      public java.lang.String fullyQualifiedName()
      Description copied from interface: LatentStateLabel
      Retrieve the Fully Qualified Name
      Specified by:
      fullyQualifiedName in interface LatentStateLabel
      Returns:
      The Fully Qualified Name

    • match

      public boolean match​(LatentStateLabel latentStateLabelOther)
      Description copied from interface: LatentStateLabel
      Indicate whether this Label matches the supplied.
      Specified by:
      match in interface LatentStateLabel
      Parameters:
      latentStateLabelOther - The Supplied Label
      Returns:
      TRUE - The Supplied Label matches this.