Package org.drip.xva.basel

XVA Based Basel Accounting Measures

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
BalanceSheetEdge	BalanceSheetEdge implements the Balance Sheet Edge Component of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
BalanceSheetVertex	BalanceSheetVertex implements the Balance Sheet Vertex Component of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
OTCAccountingModus	OTCAccountingModus implements the Generic Basel Accounting Scheme using the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
OTCAccountingModusFCAFBA	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).
OTCAccountingModusFVAFDA	OTCAccountingModusFVAFDA implements the Basel Accounting Scheme using the FVA/FDA Specification of the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
OTCAccountingPolicy	OTCAccountingPolicy implements the Generic Basel Accounting Policy using the Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
ValueAdjustment	ValueAdjustment holds the Value and the Attribution Category at the Level of a Portfolio.
ValueCategory	ValueCategory holds the Fields relevant to Classifying Value Attribution from an Accounting View Point.