Package org.drip.xva.definition

Class CloseOutBilateral

java.lang.Object
org.drip.xva.definition.CloseOut
org.drip.xva.definition.CloseOutBilateral
public class CloseOutBilateral
extends CloseOut
CloseOutBilateral implements the (2002) ISDA Master Agreement Bilateral Close Out Scheme to be applied to the MTM 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
    CloseOutBilateral​(double dealerSeniorFundingRecovery, double clientRecovery)
    CloseOutBilateral Constructor

  • Method Summary

    Modifier and Type Method Description
    double clientDefault​(double uncollateralizedExposure, double collateralAmount)
    Retrieve the Close-out from the Exposure on a specific Client Default
    double clientRecovery()
    Retrieve the Client Recovery Rate
    double dealerDefault​(double uncollateralizedExposure, double collateralAmount)
    Retrieve the Close-out from the Exposure on Dealer Default
    double dealerSeniorFundingRecovery()
    Retrieve the Dealer Senior Funding Recovery Rate
    static CloseOutBilateral Market​(MarketVertex marketVertex)
    Generate the Close Out Bilateral Instance from the Market Vertex

    Methods inherited from class org.drip.xva.definition.CloseOut

    clientDefault, dealerDefault

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CloseOutBilateral

      public CloseOutBilateral​(double dealerSeniorFundingRecovery, double clientRecovery) throws java.lang.Exception
      CloseOutBilateral Constructor
      Parameters:
      dealerSeniorFundingRecovery - The Dealer Senior Funding Recovery Rate
      clientRecovery - Client Recovery Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Market

      public static final CloseOutBilateral Market​(MarketVertex marketVertex)
      Generate the Close Out Bilateral Instance from the Market Vertex
      Parameters:
      marketVertex - The Market Vertex Instance
      Returns:
      The Close Out Bilateral Instance from the Market Vertex

    • dealerSeniorFundingRecovery

      public double dealerSeniorFundingRecovery()
      Retrieve the Dealer Senior Funding Recovery Rate
      Returns:
      The Dealer Senior Funding Recovery Rate

    • clientRecovery

      public double clientRecovery()
      Retrieve the Client Recovery Rate
      Returns:
      The Client Recovery Rate

    • dealerDefault

      public double dealerDefault​(double uncollateralizedExposure, double collateralAmount) throws java.lang.Exception
      Description copied from class: CloseOut
      Retrieve the Close-out from the Exposure on Dealer Default
      Specified by:
      dealerDefault in class CloseOut
      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 double clientDefault​(double uncollateralizedExposure, double collateralAmount) throws java.lang.Exception
      Description copied from class: CloseOut
      Retrieve the Close-out from the Exposure on a specific Client Default
      Specified by:
      clientDefault in class CloseOut
      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