Package org.drip.xva.derivative

Class CashAccountEdge

java.lang.Object

org.drip.xva.derivative.CashAccountEdge

public class CashAccountEdge
extends java.lang.Object

CashAccountEdge holds the Increments of the Cash Account Components resulting from the Dynamic Replication Process. 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

• Module = Portfolio Core Module
• Library = XVA Analytics Library
• Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
• Package = Burgard Kjaer Dynamic Portfolio Replication

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CashAccountEdge(double positionAccumulation, double dealerAccumulation, double clientAccumulation)	CashAccountEdge Constructor

Method Summary

Modifier and Type	Method	Description
double	accumulation()	Retrieve the Cumulative Increment
double	assetAccumulation()	Retrieve the Incremental Amount added to the Cash Account coming from the Asset
double	clientAccumulation()	Retrieve the Incremental Amount added to the Cash Account coming from the Client Repo
double	dealerAccumulation()	Retrieve the Incremental Amount added to the Cash Account coming from Dealer Borrowing/Funding

Methods inherited from class java.lang.Object

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

Constructor Details

CashAccountEdge

public CashAccountEdge(double positionAccumulation,
double dealerAccumulation,
double clientAccumulation)
                throws java.lang.Exception

CashAccountEdge Constructor

Parameters:

positionAccumulation - The Incremental Amount added to the Cash Account coming from the Position

dealerAccumulation - The Incremental Amount added to the Cash Account coming from the Dealer Borrowing/Funding

clientAccumulation - The Incremental Amount added to the Cash Account coming from the Client Repo

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

assetAccumulation

public double assetAccumulation()

Retrieve the Incremental Amount added to the Cash Account coming from the Asset

Returns:

The Incremental Amount added to the Cash Account coming from the Asset

dealerAccumulation

public double dealerAccumulation()

Retrieve the Incremental Amount added to the Cash Account coming from Dealer Borrowing/Funding

Returns:

The Incremental Amount added to the Cash Account coming from Dealer Borrowing/Funding

clientAccumulation

public double clientAccumulation()

Retrieve the Incremental Amount added to the Cash Account coming from the Client Repo

Returns:

The Incremental Amount added to the Cash Account coming from the Client Repo

accumulation

public double accumulation()

Retrieve the Cumulative Increment

Returns:

The Cumulative Increment