Package org.drip.xva.basel

Class BalanceSheetEdge

java.lang.Object
org.drip.xva.basel.BalanceSheetEdge
public class BalanceSheetEdge
extends java.lang.Object
BalanceSheetEdge implements the Balance Sheet Edge Component of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014). The References are:

  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 eSSRN
  • BCBS (2012): Consultative Document: Application of Own Credit Risk Adjustments to Derivatives Basel Committee on Banking Supervision
  • 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
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BalanceSheetEdge​(BalanceSheetVertex headBalanceSheetVertex, BalanceSheetVertex tailBalanceSheetVertex)
    BalanceSheetEdge Constructor

  • Method Summary

    Modifier and Type Method Description
    double cet1Change()
    Compute the CET1 Change
    BalanceSheetVertex head()
    Retrieve the Balance Sheet Account Vertex Head Instance
    double income()
    Compute the "Income"
    BalanceSheetVertex tail()
    Retrieve the Balance Sheet Account Vertex Tail Instance

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BalanceSheetEdge

      public BalanceSheetEdge​(BalanceSheetVertex headBalanceSheetVertex, BalanceSheetVertex tailBalanceSheetVertex) throws java.lang.Exception
      BalanceSheetEdge Constructor
      Parameters:
      headBalanceSheetVertex - Balance Sheet Account Vertex Head Instance
      tailBalanceSheetVertex - Balance Sheet Account Vertex Tail Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • head

      public BalanceSheetVertex head()
      Retrieve the Balance Sheet Account Vertex Head Instance
      Returns:
      The Balance Sheet Account Vertex Head Instance

    • tail

      public BalanceSheetVertex tail()
      Retrieve the Balance Sheet Account Vertex Tail Instance
      Returns:
      The Balance Sheet Account Vertex Tail Instance

    • cet1Change

      public double cet1Change()
      Compute the CET1 Change
      Returns:
      The CET1 Change

    • income

      public double income()
      Compute the "Income"
      Returns:
      The "Income"