Package org.drip.xva.derivative

Class PositionGreekVertex

java.lang.Object
org.drip.xva.derivative.PositionGreekVertex
public class PositionGreekVertex
extends java.lang.Object
PositionGreekVertex holds the Derivative XVA Value, its Delta, and its Gamma to the Position Value. 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
    PositionGreekVertex​(double derivativeXVAValue, double derivativeXVAValueDelta, double derivativeXVAValueGamma, double derivativeFairValue)
    PositionGreekVertex Constructor

  • Method Summary

    Modifier and Type Method Description
    double derivativeFairValue()
    Retrieve the Derivative De-XVA "Fair" Value
    double derivativeXVA()
    Retrieve the Derivative XVA Adjustment
    double derivativeXVAValue()
    Retrieve the Derivative XVA Value
    double derivativeXVAValueDelta()
    Retrieve the Derivative XVA Value Delta
    double derivativeXVAValueGamma()
    Retrieve the Derivative XVA Value Gamma

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PositionGreekVertex

      public PositionGreekVertex​(double derivativeXVAValue, double derivativeXVAValueDelta, double derivativeXVAValueGamma, double derivativeFairValue) throws java.lang.Exception
      PositionGreekVertex Constructor
      Parameters:
      derivativeXVAValue - The Derivative XVA Value
      derivativeXVAValueDelta - The Derivative XVA Value Delta
      derivativeXVAValueGamma - The Derivative XVA Value Gamma
      derivativeFairValue - The Derivative "Fair" Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • derivativeXVAValue

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

    • derivativeXVAValueDelta

      public double derivativeXVAValueDelta()
      Retrieve the Derivative XVA Value Delta
      Returns:
      The Derivative XVA Value Delta

    • derivativeXVAValueGamma

      public double derivativeXVAValueGamma()
      Retrieve the Derivative XVA Value Gamma
      Returns:
      The Derivative XVA Value Gamma

    • derivativeFairValue

      public double derivativeFairValue()
      Retrieve the Derivative De-XVA "Fair" Value
      Returns:
      The Derivative De-XVA "Fair" Value

    • derivativeXVA

      public double derivativeXVA()
      Retrieve the Derivative XVA Adjustment
      Returns:
      The Derivative XVA Adjustment