Package org.drip.xva.derivative

Class ReplicationPortfolioVertexDealer

java.lang.Object
org.drip.xva.derivative.ReplicationPortfolioVertexDealer
public class ReplicationPortfolioVertexDealer
extends java.lang.Object
ReplicationPortfolioVertexDealer holds the Dealer Senor/Subordinate Replication Portfolio. 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
    ReplicationPortfolioVertexDealer​(double seniorNumeraireHoldings, double subordinateNumeraireHoldings)
    ReplicationPortfolioVertexDealer Constructor

  • Method Summary

    Modifier and Type Method Description
    double seniorNumeraireHoldings()
    Retrieve the Number of Dealer Senior Numeraire Holdings
    static ReplicationPortfolioVertexDealer Standard​(double seniorNumeraireHoldings)
    Construct a ReplicationPortfolioVertexDealer Instance from the Senior Dealer Numeraire alone
    double subordinateNumeraireHoldings()
    Retrieve the Number of Dealer Subordinate Numeraire Holdings

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ReplicationPortfolioVertexDealer

      public ReplicationPortfolioVertexDealer​(double seniorNumeraireHoldings, double subordinateNumeraireHoldings) throws java.lang.Exception
      ReplicationPortfolioVertexDealer Constructor
      Parameters:
      seniorNumeraireHoldings - The Dealer Senior Numeraire Holdings
      subordinateNumeraireHoldings - The Dealer Subordinate Numeraire Holdings
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final ReplicationPortfolioVertexDealer Standard​(double seniorNumeraireHoldings)
      Construct a ReplicationPortfolioVertexDealer Instance from the Senior Dealer Numeraire alone
      Parameters:
      seniorNumeraireHoldings - The Dealer Senior Numeraire Holdings
      Returns:
      The ReplicationPortfolioVertexDealer Instance from the Senior Dealer Numeraire alone

    • seniorNumeraireHoldings

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

    • subordinateNumeraireHoldings

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