Package org.drip.xva.gross

Class GroupPathExposureAdjustment

java.lang.Object
org.drip.xva.gross.GroupPathExposureAdjustment
All Implemented Interfaces:
PathExposureAdjustment
public class GroupPathExposureAdjustment
extends java.lang.Object
implements PathExposureAdjustment
GroupPathExposureAdjustment cumulates the Exposures and the Adjustments across Multiple Netting/Funding Groups on a Single Path Projection Run across multiple Counter Party Groups the constitute a Book. The References are:

  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/paper.cfm?abstract_id=2482955 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 (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy