Package org.drip.xva.basel

Class ValueAdjustment

java.lang.Object
org.drip.xva.basel.ValueAdjustment
public class ValueAdjustment
extends java.lang.Object
ValueAdjustment holds the Value and the Attribution Category at the Level of a Portfolio. 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
    ValueAdjustment​(double amount, ValueCategory valueCategory)
    ValueAdjustment Constructor

  • Method Summary

    Modifier and Type Method Description
    double amount()
    Retrieve the Valuation Adjustment Amount
    static ValueAdjustment Collateralized​(double amount)
    Construct the Collateralized Transaction Value Adjustment Instance
    static ValueAdjustment COLVA​(double amount)
    Construct the COLVA Value Adjustment Instance
    static ValueAdjustment CVACL​(double amount)
    Construct the CVA Contra-Liability Value Adjustment Instance
    static ValueAdjustment DVA​(double amount)
    Construct the DVA Value Adjustment Instance
    static ValueAdjustment DVA2​(double amount)
    Construct the DVA2 Value Adjustment Instance
    static ValueAdjustment FDA​(double amount)
    Construct the FDA Value Adjustment Instance
    static ValueAdjustment FTDCVA​(double amount)
    Construct the FTDCVA Value Adjustment Instance
    static ValueAdjustment FVA​(double amount)
    Construct the FVA Value Adjustment Instance
    static ValueAdjustment HYBRID​(double amount)
    Construct the HYBRID Value Adjustment Instance
    static ValueAdjustment UCVA​(double amount)
    Construct the UCVA Value Adjustment Instance
    ValueCategory valueCategory()
    Retrieve the Valuation Adjustment Attribution Category

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ValueAdjustment

      public ValueAdjustment​(double amount, ValueCategory valueCategory) throws java.lang.Exception
      ValueAdjustment Constructor
      Parameters:
      amount - Valuation Adjustment Amount
      valueCategory - Valuation Adjustment Attribution Category
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Collateralized

      public static final ValueAdjustment Collateralized​(double amount)
      Construct the Collateralized Transaction Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The Collateralized Transaction Value Adjustment Instance

    • UCVA

      public static final ValueAdjustment UCVA​(double amount)
      Construct the UCVA Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The UCVA Value Adjustment Instance

    • FTDCVA

      public static final ValueAdjustment FTDCVA​(double amount)
      Construct the FTDCVA Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The FTDCVA Value Adjustment Instance

    • DVA

      public static final ValueAdjustment DVA​(double amount)
      Construct the DVA Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The DVA Value Adjustment Instance

    • CVACL

      public static final ValueAdjustment CVACL​(double amount)
      Construct the CVA Contra-Liability Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The CVA Contra-Liability Value Adjustment Instance

    • FVA

      public static final ValueAdjustment FVA​(double amount)
      Construct the FVA Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The FVA Value Adjustment Instance

    • FDA

      public static final ValueAdjustment FDA​(double amount)
      Construct the FDA Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The FDA Value Adjustment Instance

    • DVA2

      public static final ValueAdjustment DVA2​(double amount)
      Construct the DVA2 Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The DVA2 Value Adjustment Instance

    • COLVA

      public static final ValueAdjustment COLVA​(double amount)
      Construct the COLVA Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The COLVA Value Adjustment Instance

    • HYBRID

      public static final ValueAdjustment HYBRID​(double amount)
      Construct the HYBRID Value Adjustment Instance
      Parameters:
      amount - Valuation Adjustment Amount
      Returns:
      The HYBRID Value Adjustment Instance

    • amount

      public double amount()
      Retrieve the Valuation Adjustment Amount
      Returns:
      The Valuation Adjustment Amount

    • valueCategory

      public ValueCategory valueCategory()
      Retrieve the Valuation Adjustment Attribution Category
      Returns:
      The Valuation Adjustment Attribution Category