Package org.drip.xva.definition

Class CloseOut

java.lang.Object
org.drip.xva.definition.CloseOut
Direct Known Subclasses:
CloseOutBilateral
public abstract class CloseOut
extends java.lang.Object
CloseOut exposes the General Close Out Amounts to be applied to the MTM Exposure at the Dealer/Client Default. The References are:

  • Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87
  • 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
  • Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CloseOut()  

  • Method Summary

    Modifier and Type Method Description
    double clientDefault​(double dblExposure)
    Retrieve the Close-out from the Exposure on specific Client Default
    abstract double clientDefault​(double uncollateralizedExposure, double collateralAmount)
    Retrieve the Close-out from the Exposure on a specific Client Default
    double dealerDefault​(double uncollateralizedExposure)
    Retrieve the Close-out from the Exposure on Dealer Default
    abstract double dealerDefault​(double uncollateralizedExposure, double collateralAmount)
    Retrieve the Close-out from the Exposure on Dealer Default

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CloseOut

      public CloseOut()

  • Method Details

    • dealerDefault

      public abstract double dealerDefault​(double uncollateralizedExposure, double collateralAmount) throws java.lang.Exception
      Retrieve the Close-out from the Exposure on Dealer Default
      Parameters:
      uncollateralizedExposure - Group Uncollateralized Exposure
      collateralAmount - Group Collateral Amount
      Returns:
      Close-out from the Exposure on Dealer Default
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • clientDefault

      public abstract double clientDefault​(double uncollateralizedExposure, double collateralAmount) throws java.lang.Exception
      Retrieve the Close-out from the Exposure on a specific Client Default
      Parameters:
      uncollateralizedExposure - Group Uncollateralized Exposure
      collateralAmount - Group Collateral Amount
      Returns:
      The Close-out from the Exposure on a specific Client Default
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • dealerDefault

      public double dealerDefault​(double uncollateralizedExposure) throws java.lang.Exception
      Retrieve the Close-out from the Exposure on Dealer Default
      Parameters:
      uncollateralizedExposure - Group Uncollateralized Exposure
      Returns:
      Close-out from the Exposure on Dealer Default
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • clientDefault

      public double clientDefault​(double dblExposure) throws java.lang.Exception
      Retrieve the Close-out from the Exposure on specific Client Default
      Parameters:
      dblExposure - Counter Party Group Exposure
      Returns:
      The Close-out from the Exposure on specific Group Default
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid