Package org.drip.xva.definition

XVA Definition - Close Out, Universe
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CloseOut
    CloseOut exposes the General Close Out Amounts to be applied to the MTM Exposure at the Dealer/Client Default.
    CloseOutBilateral
    CloseOutBilateral implements the (2002) ISDA Master Agreement Bilateral Close Out Scheme to be applied to the MTM at the Dealer/Client Default.
    PDEEvolutionControl
    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).
    SimpleBalanceSheet
    SimpleBalanceSheet implements a Simple Dealer Balance Sheet Model as specified in Burgard and Kjaer (2012).