Package org.drip.xva.gross

XVA Gross Adiabat Exposure Aggregation

Author:

Lakshmi Krishnamurthy

Interface Summary

Interface	Description
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.

Class Summary

Class	Description
BaselExposureDigest	BaselExposureDigest holds the Conservative Exposure Measures generated using the Standardized Basel Approach.
ExposureAdjustmentAggregator	ExposureAdjustmentAggregator aggregates across Multiple Exposure/Adjustment Paths belonging to the Counter Party.
ExposureAdjustmentDigest	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).
GroupPathExposureAdjustment	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.
MonoPathExposureAdjustment	MonoPathExposureAdjustment 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.