Package org.drip.xva.definition

Class SimpleBalanceSheet

java.lang.Object
org.drip.xva.definition.SimpleBalanceSheet
public class SimpleBalanceSheet
extends java.lang.Object
SimpleBalanceSheet implements a Simple Dealer Balance Sheet Model as specified in Burgard and Kjaer (2012). 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

  • Constructor Summary

    Constructors
    Constructor Description
    SimpleBalanceSheet​(double asset, double liability)
    SimpleBalanceSheet Constructor

  • Method Summary

    Modifier and Type Method Description
    double _liability()
    Retrieve the Balance Sheet Liability
    double asset()
    Retrieve the Balance Sheet Asset
    SimpleBalanceSheet derivativeInfusion​(double dblDerivativeValue)
    Generate the Updated Balance Sheet resulting from a Derivative Value Infusion
    double impliedRecovery()
    Retrieve the Balance Sheet Implied Recovery

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • SimpleBalanceSheet

      public SimpleBalanceSheet​(double asset, double liability) throws java.lang.Exception
      SimpleBalanceSheet Constructor
      Parameters:
      asset - The Balance Sheet Asset
      liability - The Balance Sheet Liability
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • asset

      public double asset()
      Retrieve the Balance Sheet Asset
      Returns:
      The Balance Sheet Asset

    • _liability

      public double _liability()
      Retrieve the Balance Sheet Liability
      Returns:
      The Balance Sheet Liability

    • impliedRecovery

      public double impliedRecovery()
      Retrieve the Balance Sheet Implied Recovery
      Returns:
      The Balance Sheet Implied Recovery

    • derivativeInfusion

      public SimpleBalanceSheet derivativeInfusion​(double dblDerivativeValue)
      Generate the Updated Balance Sheet resulting from a Derivative Value Infusion
      Parameters:
      dblDerivativeValue - The Derivative Value
      Returns:
      The Updated Balance Sheet