java.lang.Object

org.drip.xva.hypothecation.CollateralGroupVertex

public abstract class CollateralGroupVertex
extends CollateralGroupVertexExposure
implements CollateralGroupVertexExposureComponent

CollateralGroupVertex holds the Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group. 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/papers.cfm?abstract_id=2482955 eSSRN
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
Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

Module = Portfolio Core Module
Library = XVA Analytics Library
Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
Package = XVA Hypothecation Group Amount Estimation

Method Summary

Modifier and Type	Method	Description
`double`	`collateralized()`	Retrieve the Total Collateralized Exposure at the Path Vertex Time Node
`double`	`variationMarginPosting()`	Retrieve the Posted Variation Margin at the Path Vertex Time Node
`JulianDate`	`vertexDate()`	Retrieve the Vertex Date

tradePayment, uncollateralized, variationMarginEstimate, VariationMarginOnly

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

credit, debt, funding

Class CollateralGroupVertex