Package org.drip.xva.definition

Class PDEEvolutionControl

java.lang.Object
org.drip.xva.definition.PDEEvolutionControl
public class PDEEvolutionControl
extends java.lang.Object
PDEEvolutionControl is used to Customize the XVA Estimation using PDE Evolution, e.g., determine the MTM Mechanism that determines the actual Termination Close Out, as laid out in Burgard and Kjaer (2014). The References are:

  • 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
  • Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int CLOSEOUT_BURGARD_KJAER
    Set the Close-out to the Derivative XVA MTM according to Burgard and Kjaer (2014)
    static int CLOSEOUT_GREGORY_LI_TANG
    Set the Close-out to the Derivative MTM according to Li and Tang (2007) or Gregory (2009)

  • Constructor Summary

    Constructors
    Constructor Description
    PDEEvolutionControl​(int closeOutScheme, double sensitivityShiftFactor)
    PDEEvolutionControl Constructor

  • Method Summary

    Modifier and Type Method Description
    int closeOutScheme()
    Retrieve the Close-out Scheme
    double sensitivityShiftFactor()
    Retrieve the Factor needed to evaluate Sensitivity Shifts

    Methods inherited from class java.lang.Object

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

  • Field Details

    • CLOSEOUT_GREGORY_LI_TANG

      public static final int CLOSEOUT_GREGORY_LI_TANG
      Set the Close-out to the Derivative MTM according to Li and Tang (2007) or Gregory (2009)
      See Also:
      Constant Field Values

    • CLOSEOUT_BURGARD_KJAER

      public static final int CLOSEOUT_BURGARD_KJAER
      Set the Close-out to the Derivative XVA MTM according to Burgard and Kjaer (2014)
      See Also:
      Constant Field Values

  • Constructor Details

    • PDEEvolutionControl

      public PDEEvolutionControl​(int closeOutScheme, double sensitivityShiftFactor) throws java.lang.Exception
      PDEEvolutionControl Constructor
      Parameters:
      closeOutScheme - The Close Out Scheme
      sensitivityShiftFactor - The Factor needed to evaluate Sensitivity Shifts
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • closeOutScheme

      public int closeOutScheme()
      Retrieve the Close-out Scheme
      Returns:
      The Close-out Scheme

    • sensitivityShiftFactor

      public double sensitivityShiftFactor()
      Retrieve the Factor needed to evaluate Sensitivity Shifts
      Returns:
      The Factor needed to evaluate Sensitivity Shifts