Package org.drip.xva.basel

Class OTCAccountingModus

java.lang.Object
org.drip.xva.basel.OTCAccountingModus
Direct Known Subclasses:
OTCAccountingModusFCAFBA, OTCAccountingModusFVAFDA
public abstract class OTCAccountingModus
extends java.lang.Object
OTCAccountingModus implements the Generic Basel Accounting Scheme using 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

  • Method Details

    • aggregator

      public ExposureAdjustmentAggregator aggregator()
      Retrieve the Counter Party Group Aggregator Instance
      Returns:
      The Counter Party Group Aggregator Instance

    • contraAssetAdjustment

      public abstract double contraAssetAdjustment()
      Compute the Contra-Asset Adjustment
      Returns:
      The Contra-Asset Adjustment

    • contraLiabilityAdjustment

      public abstract double contraLiabilityAdjustment()
      Compute the Contra-Liability Adjustment
      Returns:
      The Contra-Liability Adjustment

    • feePolicy

      public abstract OTCAccountingPolicy feePolicy​(ExposureAdjustmentAggregator exposureAdjustmentAggregatorNext)
      Generate the Fee Policy Based on the Aggregation Incremental
      Parameters:
      exposureAdjustmentAggregatorNext - The "Next" Exposure Adjustment Aggregator Instance
      Returns:
      The OTC Fee Policy