Package org.drip.xva.basel

Class BalanceSheetVertex

java.lang.Object
org.drip.xva.basel.BalanceSheetVertex
public class BalanceSheetVertex
extends java.lang.Object
BalanceSheetVertex implements the Balance Sheet Vertex 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
    BalanceSheetVertex​(double asset, double liability, double contraAsset, double contraLiability, double retainedEarnings, double cash)
    BalanceSheetVertex Constructor

  • Method Summary

    Modifier and Type Method Description
    double asset()
    Retrieve the Asset Account
    double cash()
    Retrieve the Cash Account
    double cet1()
    Estimate the Core Equity Tier I (CET1) Capital
    double contraAsset()
    Retrieve the Contra Asset Account
    double contraLiability()
    Retrieve the Contra Liability Account
    double equity()
    Estimate the Equity Account
    double liability()
    Retrieve the Liability Account
    double pfv()
    Estimate the Portfolio Value (PFV)
    double retainedEarnings()
    Retrieve the Retained Earnings Account
    static BalanceSheetVertex Unrealized​(double asset, double liability, double contraAsset, double contraLiability, double retainedEarnings)
    Unrealized Instance of BalanceSheetVertex

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BalanceSheetVertex

      public BalanceSheetVertex​(double asset, double liability, double contraAsset, double contraLiability, double retainedEarnings, double cash) throws java.lang.Exception
      BalanceSheetVertex Constructor
      Parameters:
      asset - The Asset Account
      liability - The Liability Account
      contraAsset - The Contra Asset Account
      contraLiability - The Contra Liability Account
      retainedEarnings - The Retained Earnings Account
      cash - The Cash Account
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Unrealized

      public static final BalanceSheetVertex Unrealized​(double asset, double liability, double contraAsset, double contraLiability, double retainedEarnings)
      Unrealized Instance of BalanceSheetVertex
      Parameters:
      asset - The Asset Account
      liability - The Liability Account
      contraAsset - The Contra Asset Account
      contraLiability - The Contra Liability Account
      retainedEarnings - The Retained Earnings Account
      Returns:
      The Unrealized BalanceSheetVertex Instance

    • asset

      public double asset()
      Retrieve the Asset Account
      Returns:
      The Asset Account

    • liability

      public double liability()
      Retrieve the Liability Account
      Returns:
      The Liability Account

    • contraAsset

      public double contraAsset()
      Retrieve the Contra Asset Account
      Returns:
      The Contra Asset Account

    • contraLiability

      public double contraLiability()
      Retrieve the Contra Liability Account
      Returns:
      The Contra Liability Account

    • retainedEarnings

      public double retainedEarnings()
      Retrieve the Retained Earnings Account
      Returns:
      The Retained Earnings Account

    • cash

      public double cash()
      Retrieve the Cash Account
      Returns:
      The Cash Account

    • pfv

      public double pfv()
      Estimate the Portfolio Value (PFV)
      Returns:
      The Portfolio Value (PFV)

    • equity

      public double equity()
      Estimate the Equity Account
      Returns:
      The Equity Account

    • cet1

      public double cet1()
      Estimate the Core Equity Tier I (CET1) Capital
      Returns:
      The Core Equity Tier I (CET1) Capital