Package org.drip.xva.derivative

Class TerminalPayout

java.lang.Object
org.drip.xva.derivative.TerminalPayout
public class TerminalPayout
extends java.lang.Object
TerminalPayout implements the Pay-out Function on the given Asset, using its Marginal Evolution Process, at the specified Terminal Time Instance. 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
    TerminalPayout​(JulianDate terminalDate, R1ToR1 payoutFunction)
    TerminalPayout Constructor

  • Method Summary

    Modifier and Type Method Description
    JulianDate date()
    Retrieve the Terminal Pay Out Date
    R1ToR1 function()
    Retrieve the R1 To R1 Pay-out Function

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TerminalPayout

      public TerminalPayout​(JulianDate terminalDate, R1ToR1 payoutFunction) throws java.lang.Exception
      TerminalPayout Constructor
      Parameters:
      terminalDate - The Terminal Pay Out Date
      payoutFunction - The R1 To R1 Pay-out Function
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • date

      public JulianDate date()
      Retrieve the Terminal Pay Out Date
      Returns:
      The Terminal Pay Out Date

    • function

      public R1ToR1 function()
      Retrieve the R1 To R1 Pay-out Function
      Returns:
      The R1 To R1 Pay-out Function