Package org.drip.xva.derivative

Class CashAccountRebalancer

java.lang.Object
org.drip.xva.derivative.CashAccountRebalancer
public class CashAccountRebalancer
extends java.lang.Object
CashAccountRebalancer holds the Edge Cash Account Increment and the Edge Derivative Value Update for a Trajectory that has just undergone Cash Account Re-balancing, 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

  • Constructor Summary

    Constructors
    Constructor Description
    CashAccountRebalancer​(CashAccountEdge cashAccountEdge, double derivativeXVAValueEdge)
    CashAccountRebalancer Constructor

  • Method Summary

    Modifier and Type Method Description
    CashAccountEdge cashAccountEdge()
    Retrieve the Cash Account Edge Instance
    double derivativeXVAValueEdge()
    Retrieve the Derivative XVA Value Increment

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CashAccountRebalancer

      public CashAccountRebalancer​(CashAccountEdge cashAccountEdge, double derivativeXVAValueEdge) throws java.lang.Exception
      CashAccountRebalancer Constructor
      Parameters:
      cashAccountEdge - The Cash Account Edge
      derivativeXVAValueEdge - The XVA Derivative Value Edge
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • cashAccountEdge

      public CashAccountEdge cashAccountEdge()
      Retrieve the Cash Account Edge Instance
      Returns:
      The Cash Account Edge Instance

    • derivativeXVAValueEdge

      public double derivativeXVAValueEdge()
      Retrieve the Derivative XVA Value Increment
      Returns:
      The Derivative XVA Value Increment