Package org.drip.xva.dynamics

Class PositionGroupTrajectory

java.lang.Object

org.drip.xva.dynamics.PositionGroupTrajectory

public class PositionGroupTrajectory
extends java.lang.Object

PositionGroupTrajectory generates the Customized Position Group Trajectories. The References are:

• Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management, and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301 eSSRN
• Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87
• 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
• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

• Module = Portfolio Core Module
• Library = XVA Analytics Library
• Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
• Package = XVA Dynamics - Settings and Evolution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PositionGroupTrajectory(PositionGroupSpecification positionGroupSpecification, MarketPath marketPath, double[][] positionGroupArrayVertex)	PositionGroupTrajectory Constructor

Method Summary

Modifier and Type	Method	Description
MarketPath	marketPath()	Retrieve the Market Path
double[][]	positionGroupArrayVertex()	Retrieve the Position Group Array Vertex Value
PositionGroupSpecification	positionGroupSpecification()	Retrieve the Position Group Specification
CollateralGroupVertex[][]	positionGroupVertexArray()	Generate the Position Collateral Group Vertex Array

Methods inherited from class java.lang.Object

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

Constructor Details

PositionGroupTrajectory

public PositionGroupTrajectory(PositionGroupSpecification positionGroupSpecification,
MarketPath marketPath,
double[][] positionGroupArrayVertex)
                        throws java.lang.Exception

PositionGroupTrajectory Constructor

Parameters:

positionGroupSpecification - The Position Group Specification

marketPath - The Market Path

positionGroupArrayVertex - Vertexes of the Position Group Array

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

positionGroupSpecification

public PositionGroupSpecification positionGroupSpecification()

Retrieve the Position Group Specification

Returns:

The Position Group Specification

marketPath

public MarketPath marketPath()

Retrieve the Market Path

Returns:

The Market Path

positionGroupArrayVertex

public double[][] positionGroupArrayVertex()

Retrieve the Position Group Array Vertex Value

Returns:

The Position Group Array Vertex Value

positionGroupVertexArray

public CollateralGroupVertex[][] positionGroupVertexArray()

Generate the Position Collateral Group Vertex Array

Returns:

The Position Collateral Group Vertex Array