Package org.drip.xva.gross

Class ExposureAdjustmentDigest

java.lang.Object
org.drip.xva.gross.ExposureAdjustmentDigest
public class ExposureAdjustmentDigest
extends java.lang.Object
ExposureAdjustmentDigest holds the "thin" Statistics of the Aggregations across Multiple Path Projection Runs along the Granularity of a Counter Party Group (i.e., across multiple Funding and Credit/Debt Netting groups). 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

    • ExposureAdjustmentDigest

      public ExposureAdjustmentDigest​(double[] ucolvaArray, double[] ftdcolvaArray, double[] ucvaArray, double[] ftdcvaArray, double[] cvaArray, double[] cvaclArray, double[] dvaArray, double[] fvaArray, double[] fdaArray, double[] fcaArray, double[] fbaArray, double[] sfvaArray, double[] totalVAArray, double[][] collateralizedExposureGrid, double[][] collateralizedExposurePVGrid, double[][] collateralizedPositiveExposureGrid, double[][] collateralizedPositiveExposurePVGrid, double[][] collateralizedNegativeExposureGrid, double[][] collateralizedNegativeExposurePVGrid, double[][] uncollateralizedExposureGrid, double[][] uncollateralizedExposurePVGrid, double[][] uncollateralizedPositiveExposureGrid, double[][] uncollateralizedPositiveExposurePVGrid, double[][] uncollateralizedNegativeExposureGrid, double[][] uncollateralizedNegativeExposurePVGrid, double[][] fundingExposureGrid, double[][] fundingExposurePVGrid) throws java.lang.Exception
      ExposureAdjustmentDigest Constructor
      Parameters:
      ucolvaArray - The Array of Unilateral Collateral VA
      ftdcolvaArray - The Array of Bilateral Collateral VA
      ucvaArray - The Array of UCVA
      ftdcvaArray - The Array of FTD CVA
      cvaArray - The Array of CVA
      cvaclArray - The Array of CVA Contra-Liabilities
      dvaArray - The Array of DVA
      fvaArray - The Array of FVA
      fdaArray - The Array of FDA
      fcaArray - The Array of FCA
      fbaArray - The Array of FBA
      sfvaArray - The Array of SFVA
      totalVAArray - The Array of Total VA
      collateralizedExposureGrid - Grid of Collateralized Exposure
      collateralizedExposurePVGrid - Grid of Collateralized Exposure PV
      collateralizedPositiveExposureGrid - Grid of Collateralized Positive Exposure
      collateralizedPositiveExposurePVGrid - Grid of Collateralized Positive Exposure PV
      collateralizedNegativeExposureGrid - Grid of Collateralized Negative Exposure
      collateralizedNegativeExposurePVGrid - Grid of Collateralized Negative Exposure PV
      uncollateralizedExposureGrid - Grid of Uncollateralized Exposure
      uncollateralizedExposurePVGrid - Grid of Uncollateralized Exposure PV
      uncollateralizedPositiveExposureGrid - Grid of Uncollateralized Positive Exposure
      uncollateralizedPositiveExposurePVGrid - Grid of Uncollateralized Positive Exposure PV
      uncollateralizedNegativeExposureGrid - Grid of Uncollateralized Negative Exposure
      uncollateralizedNegativeExposurePVGrid - Grid of Uncollateralized Negative Exposure PV
      fundingExposureGrid - Grid of Funding Exposure
      fundingExposurePVGrid - Grid of Funding Exposure PV
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • collateralizedExposure

      public UnivariateDiscreteThin[] collateralizedExposure()
      Retrieve the Univariate Thin Statistics for the Collateralized Exposure
      Returns:
      Univariate Thin Statistics for the Collateralized Exposure

    • collateralizedExposurePV

      public UnivariateDiscreteThin[] collateralizedExposurePV()
      Retrieve the Univariate Thin Statistics for the Collateralized Exposure PV
      Returns:
      Univariate Thin Statistics for the Collateralized Exposure PV

    • collateralizedPositiveExposure

      public UnivariateDiscreteThin[] collateralizedPositiveExposure()
      Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure
      Returns:
      Univariate Thin Statistics for the Collateralized Positive Exposure

    • collateralizedPositiveExposurePV

      public UnivariateDiscreteThin[] collateralizedPositiveExposurePV()
      Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure PV
      Returns:
      Univariate Thin Statistics for the Collateralized Positive Exposure PV

    • collateralizedNegativeExposure

      public UnivariateDiscreteThin[] collateralizedNegativeExposure()
      Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure
      Returns:
      Univariate Thin Statistics for the Collateralized Negative Exposure

    • collateralizedNegativeExposurePV

      public UnivariateDiscreteThin[] collateralizedNegativeExposurePV()
      Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure PV
      Returns:
      Univariate Thin Statistics for the Collateralized Negative Exposure PV

    • uncollateralizedExposure

      public UnivariateDiscreteThin[] uncollateralizedExposure()
      Retrieve the Univariate Thin Statistics for the Uncollateralized Exposure
      Returns:
      Univariate Thin Statistics for the Uncollateralized Exposure

    • uncollateralizedExposurePV

      public UnivariateDiscreteThin[] uncollateralizedExposurePV()
      Retrieve the Univariate Thin Statistics for the Uncollateralized Exposure PV
      Returns:
      Univariate Thin Statistics for the Uncollateralized Exposure PV

    • uncollateralizedPositiveExposure

      public UnivariateDiscreteThin[] uncollateralizedPositiveExposure()
      Retrieve the Univariate Thin Statistics for the Uncollateralized Positive Exposure
      Returns:
      Univariate Thin Statistics for the Uncollateralized Positive Exposure

    • uncollateralizedPositiveExposurePV

      public UnivariateDiscreteThin[] uncollateralizedPositiveExposurePV()
      Retrieve the Univariate Thin Statistics for the Uncollateralized Positive Exposure PV
      Returns:
      Univariate Thin Statistics for the Uncollateralized Positive Exposure PV

    • uncollateralizedNegativeExposure

      public UnivariateDiscreteThin[] uncollateralizedNegativeExposure()
      Retrieve the Univariate Thin Statistics for the Uncollateralized Negative Exposure
      Returns:
      Univariate Thin Statistics for the Uncollateralized Negative Exposure

    • uncollateralizedNegativeExposurePV

      public UnivariateDiscreteThin[] uncollateralizedNegativeExposurePV()
      Retrieve the Univariate Thin Statistics for the Uncollateralized Negative Exposure PV
      Returns:
      Univariate Thin Statistics for the Uncollateralized Negative Exposure PV

    • fundingExposure

      public UnivariateDiscreteThin[] fundingExposure()
      Retrieve the Univariate Thin Statistics for the Funding Exposure
      Returns:
      Univariate Thin Statistics for the Funding Exposure

    • fundingExposurePV

      public UnivariateDiscreteThin[] fundingExposurePV()
      Retrieve the Univariate Thin Statistics for the Funding Exposure PV
      Returns:
      Univariate Thin Statistics for the Funding Exposure PV

    • ucolva

      public UnivariateDiscreteThin ucolva()
      Retrieve the Univariate Thin Statistics for Unilateral Collateral VA
      Returns:
      Univariate Thin Statistics for Unilateral Collateral VA

    • ftdcolva

      public UnivariateDiscreteThin ftdcolva()
      Retrieve the Univariate Thin Statistics for Bilateral Collateral VA
      Returns:
      Univariate Thin Statistics for Bilateral Collateral VA

    • ucva

      public UnivariateDiscreteThin ucva()
      Retrieve the Univariate Thin Statistics for UCVA
      Returns:
      Univariate Thin Statistics for UCVA

    • ftdcva

      public UnivariateDiscreteThin ftdcva()
      Retrieve the Univariate Thin Statistics for FTD CVA
      Returns:
      Univariate Thin Statistics for FTD CVA

    • cva

      public UnivariateDiscreteThin cva()
      Retrieve the Univariate Thin Statistics for CVA
      Returns:
      Univariate Thin Statistics for CVA

    • cvacl

      public UnivariateDiscreteThin cvacl()
      Retrieve the Univariate Thin Statistics for CVA Contra-Liabilities
      Returns:
      Univariate Thin Statistics for CVA Contra-Liabilities

    • dva

      public UnivariateDiscreteThin dva()
      Retrieve the Univariate Thin Statistics for DVA
      Returns:
      Univariate Thin Statistics for DVA

    • fva

      public UnivariateDiscreteThin fva()
      Retrieve the Univariate Thin Statistics for FVA
      Returns:
      Univariate Thin Statistics for FVA

    • fda

      public UnivariateDiscreteThin fda()
      Retrieve the Univariate Thin Statistics for FDA
      Returns:
      Univariate Thin Statistics for FDA

    • dva2

      public UnivariateDiscreteThin dva2()
      Retrieve the Univariate Thin Statistics for DVA2
      Returns:
      Univariate Thin Statistics for DVA2

    • fca

      public UnivariateDiscreteThin fca()
      Retrieve the Univariate Thin Statistics for FCA
      Returns:
      Univariate Thin Statistics for FCA

    • fba

      public UnivariateDiscreteThin fba()
      Retrieve the Univariate Thin Statistics for FBA
      Returns:
      Univariate Thin Statistics for FBA

    • sfva

      public UnivariateDiscreteThin sfva()
      Retrieve the Univariate Thin Statistics for SFVA
      Returns:
      Univariate Thin Statistics for SFVA

    • totalVA

      public UnivariateDiscreteThin totalVA()
      Retrieve the Univariate Thin Statistics for Total VA
      Returns:
      Univariate Thin Statistics for Total VA