Package org.drip.xva.gross

Interface PathExposureAdjustment

All Known Implementing Classes:
GroupPathExposureAdjustment, MonoPathExposureAdjustment
public interface PathExposureAdjustment
PathExposureAdjustment aggregates the Exposures and the Adjustments across Multiple Netting/Funding Groups on a Single Path Projection Run along the Granularity of a Counter Party Group. 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

  • Method Details

    • vertexDates

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

    • vertexCollateralizedExposure

      double[] vertexCollateralizedExposure()
      Retrieve the Array of Collateralized Vertex Exposures
      Returns:
      The Array of Collateralized Vertex Exposures

    • vertexCollateralizedExposurePV

      double[] vertexCollateralizedExposurePV()
      Retrieve the Array of Collateralized Vertex Exposure PVs
      Returns:
      The Array of Collateralized Vertex Exposure PVs

    • vertexCollateralizedPositiveExposure

      double[] vertexCollateralizedPositiveExposure()
      Retrieve the Array of Collateralized Positive Vertex Exposures
      Returns:
      The Array of Collateralized Positive Vertex Exposures

    • vertexCollateralizedPositiveExposurePV

      double[] vertexCollateralizedPositiveExposurePV()
      Retrieve the Array of Collateralized Positive Vertex Exposure PVs
      Returns:
      The Array of Collateralized Positive Vertex Exposure PVs

    • vertexCollateralizedNegativeExposure

      double[] vertexCollateralizedNegativeExposure()
      Retrieve the Array of Collateralized Negative Vertex Exposures
      Returns:
      The Array of Collateralized Negative Vertex Exposures

    • vertexCollateralizedNegativeExposurePV

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

    • vertexUncollateralizedExposure

      double[] vertexUncollateralizedExposure()
      Retrieve the Array of Uncollateralized Vertex Exposures
      Returns:
      The Array of Uncollateralized Vertex Exposures

    • vertexUncollateralizedExposurePV

      double[] vertexUncollateralizedExposurePV()
      Retrieve the Array of Uncollateralized Vertex Exposure PV
      Returns:
      The Array of Uncollateralized Vertex Exposure PV

    • vertexUncollateralizedPositiveExposure

      double[] vertexUncollateralizedPositiveExposure()
      Retrieve the Array of Uncollateralized Positive Vertex Exposures
      Returns:
      The Array of Uncollateralized Positive Vertex Exposures

    • vertexUncollateralizedPositiveExposurePV

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

    • vertexUncollateralizedNegativeExposure

      double[] vertexUncollateralizedNegativeExposure()
      Retrieve the Array of Uncollateralized Vertex Negative Exposures
      Returns:
      The Array of Uncollateralized Vertex Negative Exposures

    • vertexUncollateralizedNegativeExposurePV

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

    • vertexFundingExposure

      double[] vertexFundingExposure()
      Retrieve the Array of Vertex Funding Exposures
      Returns:
      The Array of Vertex Funding Exposures

    • vertexFundingExposurePV

      double[] vertexFundingExposurePV()
      Retrieve the Array of Vertex Funding Exposure PVs
      Returns:
      The Array of Vertex Funding Exposures PVs

    • unilateralCollateralAdjustment

      double unilateralCollateralAdjustment()
      Compute Path Unilateral Collateral Adjustment
      Returns:
      The Path Unilateral Collateral Adjustment

    • bilateralCollateralAdjustment

      double bilateralCollateralAdjustment()
      Compute Path Bilateral Collateral Adjustment
      Returns:
      The Path Bilateral Collateral Adjustment

    • collateralAdjustment

      double collateralAdjustment()
      Compute Path Collateral Adjustment
      Returns:
      The Path Collateral Adjustment

    • unilateralCreditAdjustment

      double unilateralCreditAdjustment()
      Compute Path Unilateral Credit Adjustment
      Returns:
      The Path Unilateral Credit Adjustment

    • bilateralCreditAdjustment

      double bilateralCreditAdjustment()
      Compute Path Bilateral Credit Adjustment
      Returns:
      The Path Bilateral Credit Adjustment

    • creditAdjustment

      double creditAdjustment()
      Compute Path Credit Adjustment
      Returns:
      The Path Credit Adjustment

    • contraLiabilityCreditAdjustment

      double contraLiabilityCreditAdjustment()
      Compute Path Contra-Liability Credit Adjustment
      Returns:
      The Path Contra-Liability Credit Adjustment

    • unilateralDebtAdjustment

      double unilateralDebtAdjustment()
      Compute Path Unilateral Debt Adjustment
      Returns:
      The Path Unilateral Debt Adjustment

    • bilateralDebtAdjustment

      double bilateralDebtAdjustment()
      Compute Path Bilateral Debt Adjustment
      Returns:
      The Path Bilateral Debt Adjustment

    • debtAdjustment

      double debtAdjustment()
      Compute Path Debt Adjustment
      Returns:
      The Path Debt Adjustment

    • contraAssetDebtAdjustment

      double contraAssetDebtAdjustment()
      Compute Path Contra-Asset Debt Adjustment
      Returns:
      The Path Contra-Asset Debt Adjustment

    • unilateralFundingValueAdjustment

      double unilateralFundingValueAdjustment()
      Compute Path Unilateral Funding Value Adjustment
      Returns:
      The Path Unilateral Funding Value Adjustment

    • bilateralFundingValueAdjustment

      double bilateralFundingValueAdjustment()
      Compute Path Bilateral Funding Value Adjustment
      Returns:
      The Path Bilateral Funding Value Adjustment

    • fundingValueAdjustment

      double fundingValueAdjustment()
      Compute Path Funding Value Adjustment
      Returns:
      The Path Funding Value Adjustment

    • fundingDebtAdjustment

      double fundingDebtAdjustment()
      Compute Path Funding Debt Adjustment
      Returns:
      The Path Funding Debt Adjustment

    • fundingCostAdjustment

      double fundingCostAdjustment()
      Compute Path Funding Cost Adjustment
      Returns:
      The Path Funding Cost Adjustment

    • fundingBenefitAdjustment

      double fundingBenefitAdjustment()
      Compute Path Funding Benefit Adjustment
      Returns:
      The Path Funding Benefit Adjustment

    • symmetricFundingValueAdjustment

      double symmetricFundingValueAdjustment()
      Compute Path Symmetric Funding Value Adjustment
      Returns:
      The Path Symmetric Funding Value Adjustment

    • totalAdjustment

      double totalAdjustment()
      Compute Path Total Adjustment
      Returns:
      The Path Total Adjustment