Package org.drip.xva.basel

Class ValueCategory

java.lang.Object

org.drip.xva.basel.ValueCategory

public class ValueCategory
extends java.lang.Object

ValueCategory holds the Fields relevant to Classifying Value Attribution from an Accounting View Point. 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
ValueCategory(java.lang.String id, java.lang.String decription, boolean cet1Contributor)	ValueCategory Constructor

Method Summary

Modifier and Type	Method	Description
static ValueCategory	CF1()	Retrieve an Instance of the CF1 Cash Flow
static ValueCategory	CF2()	Retrieve an Instance of the CF2 Cash Flow
static ValueCategory	CF3()	Retrieve an Instance of the CF3 Cash Flow
static ValueCategory	CF4()	Retrieve an Instance of the CF4 Cash Flow
static ValueCategory	CF5()	Retrieve an Instance of the CF5 Cash Flow
static ValueCategory	CF6()	Retrieve an Instance of the CF6 Cash Flow
java.lang.String	description()	Retrieve the Category Description
static ValueCategory	HYBRID()	Retrieve an Instance of the HYBRID Cash Flow
java.lang.String	id()	Retrieve the Category ID
boolean	isCET1Contributor()	Indicator if the Category is a CET1 Contributor

Methods inherited from class java.lang.Object

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

Constructor Details

ValueCategory

public ValueCategory(java.lang.String id,
java.lang.String decription,
boolean cet1Contributor)
              throws java.lang.Exception

ValueCategory Constructor

Parameters:

id - The Category ID

decription - The Category Description

cet1Contributor - TRUE - The Category is a CET1 Contributor

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

CF1

public static final ValueCategory CF1()

Retrieve an Instance of the CF1 Cash Flow

Returns:

An Instance of the CF1 Cash Flow

CF2

public static final ValueCategory CF2()

Retrieve an Instance of the CF2 Cash Flow

Returns:

An Instance of the CF2 Cash Flow

CF3

public static final ValueCategory CF3()

Retrieve an Instance of the CF3 Cash Flow

Returns:

An Instance of the CF3 Cash Flow

CF4

public static final ValueCategory CF4()

Retrieve an Instance of the CF4 Cash Flow

Returns:

An Instance of the CF4 Cash Flow

CF5

public static final ValueCategory CF5()

Retrieve an Instance of the CF5 Cash Flow

Returns:

An Instance of the CF5 Cash Flow

CF6

public static final ValueCategory CF6()

Retrieve an Instance of the CF6 Cash Flow

Returns:

An Instance of the CF6 Cash Flow

HYBRID

public static final ValueCategory HYBRID()

Retrieve an Instance of the HYBRID Cash Flow

Returns:

An Instance of the HYBRID Cash Flow

id

public java.lang.String id()

Retrieve the Category ID

Returns:

The Category ID

description

public java.lang.String description()

Retrieve the Category Description

Returns:

The Category Description

isCET1Contributor

public boolean isCET1Contributor()

Indicator if the Category is a CET1 Contributor

Returns:

TRUE - The Category is a CET1 Contributor