Package org.drip.xva.derivative

Class EvolutionTrajectoryEdge

java.lang.Object

org.drip.xva.derivative.EvolutionTrajectoryEdge

public class EvolutionTrajectoryEdge
extends java.lang.Object

EvolutionTrajectoryEdge holds the Evolution Edges of the Trajectory, the Cash Account, and the Derivative Values evolved in a Dynamically Adaptive Manner, 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

• 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
EvolutionTrajectoryEdge(EvolutionTrajectoryVertex startingTrajectoryVertex, EvolutionTrajectoryVertex finishingTrajectoryVertex, CashAccountEdge cashAccountEdge)	EvolutionTrajectoryEdge Constructor

Method Summary

Modifier and Type	Method	Description
CashAccountEdge	cashAccountEdge()	Retrieve the Cash Account Edge
EvolutionTrajectoryVertex	vertexFinish()	Retrieve the Finishing Evolution Trajectory Vertex
EvolutionTrajectoryVertex	vertexStart()	Retrieve the Starting Evolution Trajectory Vertex

Methods inherited from class java.lang.Object

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

Constructor Details

EvolutionTrajectoryEdge

public EvolutionTrajectoryEdge(EvolutionTrajectoryVertex startingTrajectoryVertex,
EvolutionTrajectoryVertex finishingTrajectoryVertex,
CashAccountEdge cashAccountEdge)
                        throws java.lang.Exception

EvolutionTrajectoryEdge Constructor

Parameters:

startingTrajectoryVertex - The Starting Evolution Trajectory Vertex

finishingTrajectoryVertex - The Finishing Evolution Trajectory Vertex

cashAccountEdge - The Cash Account Edge

Throws:

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

Method Details

vertexStart

public EvolutionTrajectoryVertex vertexStart()

Retrieve the Starting Evolution Trajectory Vertex

Returns:

The Starting Evolution Trajectory Vertex

vertexFinish

public EvolutionTrajectoryVertex vertexFinish()

Retrieve the Finishing Evolution Trajectory Vertex

Returns:

The Finishing Evolution Trajectory Vertex

cashAccountEdge

public CashAccountEdge cashAccountEdge()

Retrieve the Cash Account Edge

Returns:

The Cash Account Edge