Package org.drip.xva.derivative

Burgard Kjaer Dynamic Portfolio Replication

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CashAccountEdge	CashAccountEdge holds the Increments of the Cash Account Components resulting from the Dynamic Replication Process.
CashAccountRebalancer	CashAccountRebalancer holds the Edge Cash Account Increment and the Edge Derivative Value Update for a Trajectory that has just undergone Cash Account Re-balancing, as laid out in Burgard and Kjaer (2014).
EvolutionTrajectoryEdge	EvolutionTrajectoryEdge holds the Evolution Edges of the Trajectory, the Cash Account, and the Derivative Values evolved in a Dynamically Adaptive Manner, as laid out in Burgard and Kjaer (2014).
EvolutionTrajectoryVertex	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).
PositionGreekVertex	PositionGreekVertex holds the Derivative XVA Value, its Delta, and its Gamma to the Position Value.
ReplicationPortfolioVertex	ReplicationPortfolioVertex contains the Dynamic Replicating Portfolio of the Pay-out using the Assets in the Economy, from the Dealer's View Point.
ReplicationPortfolioVertexDealer	ReplicationPortfolioVertexDealer holds the Dealer Senor/Subordinate Replication Portfolio.
TerminalPayout	TerminalPayout implements the Pay-out Function on the given Asset, using its Marginal Evolution Process, at the specified Terminal Time Instance.