Package org.drip.xva.basel

Class OTCAccountingPolicy

java.lang.Object
org.drip.xva.basel.OTCAccountingPolicy
public class OTCAccountingPolicy
extends java.lang.Object
OTCAccountingPolicy implements the Generic Basel Accounting Policy 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

  • Constructor Summary

    Constructors
    Constructor Description
    OTCAccountingPolicy​(double fundingTransferPricing, double cet1Change, double contraLiabilityChange, double portfolioValueChange)
    OTCAccountingPolicy Constructor

  • Method Summary

    Modifier and Type Method Description
    double cet1Change()
    Retrieve the CET1 Change
    double contraLiabilityChange()
    Retrieve the Contra-Liability Change
    double fundingTransferPricing()
    Retrieve the Funding Transfer Pricing
    double portfolioValueChange()
    Retrieve the Portfolio Value Change

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OTCAccountingPolicy

      public OTCAccountingPolicy​(double fundingTransferPricing, double cet1Change, double contraLiabilityChange, double portfolioValueChange) throws java.lang.Exception
      OTCAccountingPolicy Constructor
      Parameters:
      fundingTransferPricing - The Funding Transfer Pricing
      cet1Change - The CET1 Change
      contraLiabilityChange - The Contra-Liability Change
      portfolioValueChange - The Portfolio Value Change
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • fundingTransferPricing

      public double fundingTransferPricing()
      Retrieve the Funding Transfer Pricing
      Returns:
      The Funding Transfer Pricing

    • cet1Change

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

    • contraLiabilityChange

      public double contraLiabilityChange()
      Retrieve the Contra-Liability Change
      Returns:
      The Contra-Liability Change

    • portfolioValueChange

      public double portfolioValueChange()
      Retrieve the Portfolio Value Change
      Returns:
      The Portfolio Value Change