Package org.drip.xva.gross

Class ExposureAdjustmentAggregator

java.lang.Object
org.drip.xva.gross.ExposureAdjustmentAggregator
public class ExposureAdjustmentAggregator
extends java.lang.Object
ExposureAdjustmentAggregator aggregates across Multiple Exposure/Adjustment Paths belonging to the Counter Party. 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
  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  • 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 Details

    • ExposureAdjustmentAggregator

      public ExposureAdjustmentAggregator​(PathExposureAdjustment[] pathExposureAdjustmentArray) throws java.lang.Exception
      ExposureAdjustmentAggregator Constructor
      Parameters:
      pathExposureAdjustmentArray - Array of the Counter Party Group Paths
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • pathExposureAdjustmentArray

      public PathExposureAdjustment[] pathExposureAdjustmentArray()
      Retrieve the Array of Group Path Exposure Adjustments
      Returns:
      Array of Group Path Exposure Adjustments

    • vertexDates

      public JulianDate[] vertexDates()
      Retrieve the Array of the Vertex Anchor Dates
      Returns:
      The Array of the Vertex Anchor Dates

    • collateralizedExposure

      public double[] collateralizedExposure()
      Retrieve the Array of Collateralized Exposures
      Returns:
      The Array of Collateralized Exposures

    • collateralizedExposurePV

      public double[] collateralizedExposurePV()
      Retrieve the Array of Collateralized Exposure PV's
      Returns:
      The Array of Collateralized Exposure PV's

    • uncollateralizedExposure

      public double[] uncollateralizedExposure()
      Retrieve the Array of Uncollateralized Exposures
      Returns:
      The Array of Uncollateralized Exposures

    • uncollateralizedExposurePV

      public double[] uncollateralizedExposurePV()
      Retrieve the Array of Uncollateralized Exposure PV's
      Returns:
      The Array of Uncollateralized Exposure PV's

    • collateralizedPositiveExposure

      public double[] collateralizedPositiveExposure()
      Retrieve the Array of Collateralized Positive Exposures
      Returns:
      The Array of Collateralized Positive Exposures

    • collateralizedPositiveExposurePV

      public double[] collateralizedPositiveExposurePV()
      Retrieve the Array of Collateralized Positive Exposure PV
      Returns:
      The Array of Collateralized Positive Exposure PV

    • uncollateralizedPositiveExposure

      public double[] uncollateralizedPositiveExposure()
      Retrieve the Array of Uncollateralized Positive Exposures
      Returns:
      The Array of Uncollateralized Positive Exposures

    • uncollateralizedPositiveExposurePV

      public double[] uncollateralizedPositiveExposurePV()
      Retrieve the Array of Uncollateralized Positive Exposure PV
      Returns:
      The Array of Uncollateralized Positive Exposure PV

    • collateralizedNegativeExposure

      public double[] collateralizedNegativeExposure()
      Retrieve the Array of Collateralized Negative Exposures
      Returns:
      The Array of Collateralized Negative Exposures

    • collateralizedNegativeExposurePV

      public double[] collateralizedNegativeExposurePV()
      Retrieve the Array of Collateralized Negative Exposure PV
      Returns:
      The Array of Collateralized Negative Exposure PV

    • uncollateralizedNegativeExposure

      public double[] uncollateralizedNegativeExposure()
      Retrieve the Array of Uncollateralized Negative Exposures
      Returns:
      The Array of Uncollateralized Negative Exposures

    • uncollateralizedNegativeExposurePV

      public double[] uncollateralizedNegativeExposurePV()
      Retrieve the Array of Uncollateralized Negative Exposure PV
      Returns:
      The Array of Uncollateralized Negative Exposure PV

    • fundingExposure

      public double[] fundingExposure()
      Retrieve the Array of Funding Exposures
      Returns:
      The Array of Funding Exposures

    • fundingExposurePV

      public double[] fundingExposurePV()
      Retrieve the Array of Funding Exposure PV
      Returns:
      The Array of Funding Exposure PV

    • ftdcolva

      public ValueAdjustment ftdcolva()
      Retrieve the Expected Bilateral Collateral VA
      Returns:
      The Expected Bilateral Collateral VA

    • colva

      public ValueAdjustment colva()
      Retrieve the Expected Collateral VA
      Returns:
      The Expected Collateral VA

    • ucva

      public ValueAdjustment ucva()
      Retrieve the Expected Unilateral CVA
      Returns:
      The Expected Unilateral CVA

    • ftdcva

      public ValueAdjustment ftdcva()
      Retrieve the Expected Bilateral/FTD CVA
      Returns:
      The Expected Bilateral/FTD CVA

    • cva

      public ValueAdjustment cva()
      Retrieve the Expected CVA
      Returns:
      The Expected CVA

    • cvacl

      public ValueAdjustment cvacl()
      Retrieve the Expected CVA Contra-Liability
      Returns:
      The Expected CVA Contra-Liability

    • udva

      public ValueAdjustment udva()
      Retrieve the Expected Unilateral DVA
      Returns:
      The Expected Unilateral DVA

    • ftddva

      public ValueAdjustment ftddva()
      Retrieve the Expected Bilateral DVA
      Returns:
      The Expected Bilateral DVA

    • dva

      public ValueAdjustment dva()
      Retrieve the Expected DVA
      Returns:
      The Expected DVA

    • fva

      public ValueAdjustment fva()
      Retrieve the Expected FVA
      Returns:
      The Expected FVA

    • fda

      public ValueAdjustment fda()
      Retrieve the Expected FDA
      Returns:
      The Expected FDA

    • dva2

      public ValueAdjustment dva2()
      Retrieve the Expected DVA2
      Returns:
      The Expected DVA2

    • fca

      public ValueAdjustment fca()
      Retrieve the Expected FCA
      Returns:
      The Expected FCA

    • fba

      public ValueAdjustment fba()
      Retrieve the Expected FBA
      Returns:
      The Expected FBA

    • sfva

      public ValueAdjustment sfva()
      Retrieve the Expected SFVA
      Returns:
      The Expected SFVA

    • total

      public double total()
      Retrieve the Total VA
      Returns:
      The Total VA

    • digest

      public ExposureAdjustmentDigest digest()
      Generate the "Digest" containing the "Thin" Path Statistics
      Returns:
      The "Digest" containing the "Thin" Path Statistics

    • baselExposureDigest

      public BaselExposureDigest baselExposureDigest​(StandardizedExposureGeneratorScheme standardizedExposureGeneratorScheme)
      Generate the Basel Exposure Digest
      Parameters:
      standardizedExposureGeneratorScheme - The Standardized Basel Exposure Generation Scheme
      Returns:
      The Basel Exposure Digest