Package org.drip.xva.gross

Class BaselExposureDigest

java.lang.Object

org.drip.xva.gross.BaselExposureDigest

public class BaselExposureDigest
extends java.lang.Object

BaselExposureDigest holds the Conservative Exposure Measures generated using the Standardized Basel Approach. The References are:

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 eSSRN
• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
• Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
• BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives https://www.bis.org/bcbs/publ/d317.pdf
• Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties Journal of Credit Risk 5 (4) 3-27

• Module = Portfolio Core Module
• Library = XVA Analytics Library
• Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
• Package = XVA Gross Adiabat Exposure Aggregation

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BaselExposureDigest(double expectedExposure, double expectedPositiveExposure, double effectiveExpectedExposure, double effectiveExpectedPositiveExposure, double exposureAtDefault)	BaselExposureDigest Constructor

Method Summary

Modifier and Type	Method	Description
double	effectiveExpectedExposure()	Retrieve the Effective Expected Exposure
double	effectiveExpectedPositiveExposure()	Retrieve the Effective Expected Positive Exposure
double	expectedExposure()	Retrieve the Expected Exposure
double	expectedPositiveExposure()	Retrieve the Expected Positive Exposure
double	exposureAtDefault()	Retrieve the Exposure At Default

Methods inherited from class java.lang.Object

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

Constructor Details

BaselExposureDigest

public BaselExposureDigest(double expectedExposure,
double expectedPositiveExposure,
double effectiveExpectedExposure,
double effectiveExpectedPositiveExposure,
double exposureAtDefault)
                    throws java.lang.Exception

BaselExposureDigest Constructor

Parameters:

expectedExposure - The Expected Exposure

expectedPositiveExposure - The Expected Positive Exposure

effectiveExpectedExposure - The Effective Expected Exposure

effectiveExpectedPositiveExposure - The Effective Expected Positive Exposure

exposureAtDefault - The Exposure At Default

Throws:

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

Method Details

expectedExposure

public double expectedExposure()

Retrieve the Expected Exposure

Returns:

The Expected Exposure

expectedPositiveExposure

public double expectedPositiveExposure()

Retrieve the Expected Positive Exposure

Returns:

The Expected Positive Exposure

effectiveExpectedExposure

public double effectiveExpectedExposure()

Retrieve the Effective Expected Exposure

Returns:

The Effective Expected Exposure

effectiveExpectedPositiveExposure

public double effectiveExpectedPositiveExposure()

Retrieve the Effective Expected Positive Exposure

Returns:

The Effective Expected Positive Exposure

exposureAtDefault

public double exposureAtDefault()

Retrieve the Exposure At Default

Returns:

The Exposure At Default