Uses of Package
org.drip.xva.derivative
| Package | Description |
|---|---|
| org.drip.xva.derivative |
Burgard Kjaer Dynamic Portfolio Replication
|
| org.drip.xva.pde |
Burgard Kjaer PDE Evolution Scheme
|
| org.drip.xva.vertex |
XVA Hypothecation Group Vertex Generators
|
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Classes in org.drip.xva.derivative used by org.drip.xva.derivative Class Description CashAccountEdge CashAccountEdge holds the Increments of the Cash Account Components resulting from the Dynamic Replication Process.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. -
Classes in org.drip.xva.derivative used by org.drip.xva.pde Class Description 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). -
Classes in org.drip.xva.derivative used by org.drip.xva.vertex Class Description ReplicationPortfolioVertexDealer ReplicationPortfolioVertexDealer holds the Dealer Senor/Subordinate Replication Portfolio.