Package org.drip.xva.basel

Class OTCAccountingModusFCAFBA

java.lang.Object

org.drip.xva.basel.OTCAccountingModus

org.drip.xva.basel.OTCAccountingModusFCAFBA

public class OTCAccountingModusFCAFBA
extends OTCAccountingModus

OTCAccountingModusFCAFBA implements the Basel Accounting Scheme using the FCA/FBA Specification 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

• Module = Portfolio Core Module
• Library = XVA Analytics Library
• Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
• Package = XVA Based Basel Accounting Measures

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
OTCAccountingModusFCAFBA(ExposureAdjustmentAggregator exposureAdjustmentAggregator)	OTCAccountingModusFCAFBA Constructor

Method Summary

Modifier and Type	Method	Description
double	contraAssetAdjustment()	Compute the Contra-Asset Adjustment
double	contraLiabilityAdjustment()	Compute the Contra-Liability Adjustment
OTCAccountingPolicy	feePolicy(ExposureAdjustmentAggregator exposureAdjustmentAggregatorNext)	Generate the Fee Policy Based on the Aggregation Incremental

Methods inherited from class org.drip.xva.basel.OTCAccountingModus

aggregator

Methods inherited from class java.lang.Object

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

Constructor Details

OTCAccountingModusFCAFBA

public OTCAccountingModusFCAFBA(ExposureAdjustmentAggregator exposureAdjustmentAggregator)
                         throws java.lang.Exception

OTCAccountingModusFCAFBA Constructor

Parameters:

exposureAdjustmentAggregator - The Counter Party Group Aggregator Instance

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

contraAssetAdjustment

public double contraAssetAdjustment()

Description copied from class: OTCAccountingModus

Compute the Contra-Asset Adjustment

Specified by:

contraAssetAdjustment in class OTCAccountingModus

Returns:

The Contra-Asset Adjustment

contraLiabilityAdjustment

public double contraLiabilityAdjustment()

Description copied from class: OTCAccountingModus

Compute the Contra-Liability Adjustment

Specified by:

contraLiabilityAdjustment in class OTCAccountingModus

Returns:

The Contra-Liability Adjustment

feePolicy

public OTCAccountingPolicy feePolicy(ExposureAdjustmentAggregator exposureAdjustmentAggregatorNext)

Description copied from class: OTCAccountingModus

Generate the Fee Policy Based on the Aggregation Incremental

Specified by:

feePolicy in class OTCAccountingModus

Parameters:

exposureAdjustmentAggregatorNext - The "Next" Exposure Adjustment Aggregator Instance

Returns:

The OTC Fee Policy