Package org.drip.xva.derivative

Class ReplicationPortfolioVertex

java.lang.Object
org.drip.xva.derivative.ReplicationPortfolioVertex
public class ReplicationPortfolioVertex
extends java.lang.Object
ReplicationPortfolioVertex contains the Dynamic Replicating Portfolio of the Pay-out using the Assets in the Economy, from the Dealer's View Point. 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
    ReplicationPortfolioVertex​(double positionHoldings, double dealerSeniorNumeraireHoldings, double dealerSubordinateNumeraireHoldings, double clientNumeraireHoldings, double cashAccount)
    ReplicationPortfolioVertex Constructor

  • Method Summary

    Modifier and Type Method Description
    double cashAccount()
    Retrieve the Cash Account Amount
    double clientNumeraireHoldings()
    Retrieve the Client Numeraire Holdings
    double dealerPostDefaultPositionValue​(MarketVertex marketVertex)
    Compute the Market Value of the Dealer Position Post-Default
    double dealerPreDefaultPositionValue​(MarketVertex marketVertex)
    Compute the Market Value of the Dealer Position Pre-Default
    double dealerSeniorNumeraireHoldings()
    Retrieve the Number of Dealer Senior Numeraire Holdings
    double dealerSubordinateNumeraireHoldings()
    Retrieve the Number of Dealer Subordinate Numeraire Holdings
    double positionHoldings()
    Retrieve the Number of Position Holdings
    static ReplicationPortfolioVertex Standard​(double positionHoldings, double dealerSeniorNumeraireHoldings, double clientNumeraireHoldings, double cashAccount)
    Construct a ReplicationPortfolioVertex Instance without the Zero Recovery Dealer Numeraire

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ReplicationPortfolioVertex

      public ReplicationPortfolioVertex​(double positionHoldings, double dealerSeniorNumeraireHoldings, double dealerSubordinateNumeraireHoldings, double clientNumeraireHoldings, double cashAccount) throws java.lang.Exception
      ReplicationPortfolioVertex Constructor
      Parameters:
      positionHoldings - The Asset Numeraire Holdings
      dealerSeniorNumeraireHoldings - The Dealer Senior Numeraire Holdings
      dealerSubordinateNumeraireHoldings - The Dealer Subordinate Numeraire Holdings
      clientNumeraireHoldings - The Client Numeraire Holdings
      cashAccount - The Cash Account
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final ReplicationPortfolioVertex Standard​(double positionHoldings, double dealerSeniorNumeraireHoldings, double clientNumeraireHoldings, double cashAccount)
      Construct a ReplicationPortfolioVertex Instance without the Zero Recovery Dealer Numeraire
      Parameters:
      positionHoldings - The Asset Numeraire Holdings
      dealerSeniorNumeraireHoldings - The Dealer Senior Numeraire Holdings
      clientNumeraireHoldings - The Client Numeraire Replication Holdings
      cashAccount - The Cash Account
      Returns:
      The ReplicationPortfolioVertex Instance without the Zero Recovery Dealer Numeraire

    • positionHoldings

      public double positionHoldings()
      Retrieve the Number of Position Holdings
      Returns:
      The Number of Position Holdings

    • dealerSeniorNumeraireHoldings

      public double dealerSeniorNumeraireHoldings()
      Retrieve the Number of Dealer Senior Numeraire Holdings
      Returns:
      The Number of Dealer Senior Numeraire Holdings

    • dealerSubordinateNumeraireHoldings

      public double dealerSubordinateNumeraireHoldings()
      Retrieve the Number of Dealer Subordinate Numeraire Holdings
      Returns:
      The Number of Dealer Subordinate Numeraire Holdings

    • clientNumeraireHoldings

      public double clientNumeraireHoldings()
      Retrieve the Client Numeraire Holdings
      Returns:
      The Client Numeraire Holdings

    • cashAccount

      public double cashAccount()
      Retrieve the Cash Account Amount
      Returns:
      The Cash Account Amount

    • dealerPreDefaultPositionValue

      public double dealerPreDefaultPositionValue​(MarketVertex marketVertex) throws java.lang.Exception
      Compute the Market Value of the Dealer Position Pre-Default
      Parameters:
      marketVertex - The Market Vertex
      Returns:
      The Market Value of the Dealer Position Pre-Default
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • dealerPostDefaultPositionValue

      public double dealerPostDefaultPositionValue​(MarketVertex marketVertex) throws java.lang.Exception
      Compute the Market Value of the Dealer Position Post-Default
      Parameters:
      marketVertex - The Market Vertex
      Returns:
      The Market Value of the Dealer Position Post-Default
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid