Package org.drip.xva.derivative

Class EvolutionTrajectoryVertex

java.lang.Object

org.drip.xva.derivative.EvolutionTrajectoryVertex

public class EvolutionTrajectoryVertex
extends java.lang.Object

EvolutionTrajectoryVertex holds the Evolution Snapshot of the Trade-able Prices, the Cash Account, the Replication Portfolio, and the corresponding Derivative Value, 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
EvolutionTrajectoryVertex(double time, ReplicationPortfolioVertex replicationPortfolioVertex, PositionGreekVertex positionGreekVertex, double clientGainOnDealerDefault, double dealerGainOnClientDefault, double collateral, double hedgeError)	EvolutionTrajectoryVertex Constructor

Method Summary

Modifier and Type	Method	Description
double	collateral()	Retrieve the Collateral
double	gainOnClientDefault()	Retrieve the Dealer Gain On Individual Client Default
double	gainOnDealerDefault()	Retrieve the Client Gain On Dealer Default
double	hedgeError()	Retrieve the Hedge Error
PositionGreekVertex	positionGreekVertex()	Retrieve the Position Greek Vertex
ReplicationPortfolioVertex	replicationPortfolioVertex()	Retrieve the Replication Portfolio Vertex
double	time()	Retrieve the Time Instant
double	verifyFundingConstraint(MarketVertex marketVertex)	Indicate whether Replication Portfolio satisfies the Funding Constraint implied by the Vertex Numeraire

Methods inherited from class java.lang.Object

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

Constructor Details

EvolutionTrajectoryVertex

public EvolutionTrajectoryVertex(double time,
ReplicationPortfolioVertex replicationPortfolioVertex,
PositionGreekVertex positionGreekVertex,
double clientGainOnDealerDefault,
double dealerGainOnClientDefault,
double collateral,
double hedgeError)
                          throws java.lang.Exception

EvolutionTrajectoryVertex Constructor

Parameters:

time - The Evolution Trajectory Edge Time

replicationPortfolioVertex - The Replication Portfolio Vertex

positionGreekVertex - The Position Greek Vertex

clientGainOnDealerDefault - Client Gain On Dealer Default

dealerGainOnClientDefault - Dealer Gain On Default of Client

collateral - The Vertex Collateral

hedgeError - The Vertex Hedge Error

Throws:

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

Method Details

time

public double time()

Retrieve the Time Instant

Returns:

The Time Instant

collateral

public double collateral()

Retrieve the Collateral

Returns:

The Collateral

hedgeError

public double hedgeError()

Retrieve the Hedge Error

Returns:

The Hedge Error

replicationPortfolioVertex

public ReplicationPortfolioVertex replicationPortfolioVertex()

Retrieve the Replication Portfolio Vertex

Returns:

The Replication Portfolio Vertex

positionGreekVertex

public PositionGreekVertex positionGreekVertex()

Retrieve the Position Greek Vertex

Returns:

The Position Greek Vertex

gainOnDealerDefault

public double gainOnDealerDefault()

Retrieve the Client Gain On Dealer Default

Returns:

The Client Gain On Dealer Default

gainOnClientDefault

public double gainOnClientDefault()

Retrieve the Dealer Gain On Individual Client Default

Returns:

The Dealer Gain On Individual Client Default

verifyFundingConstraint

public double verifyFundingConstraint(MarketVertex marketVertex)
                               throws java.lang.Exception

Indicate whether Replication Portfolio satisfies the Funding Constraint implied by the Vertex Numeraire

Parameters:

marketVertex - The Market Vertex

Returns:

The Funding Constraint Verification Mismatch

Throws:

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