Package org.drip.xva.hypothecation

Class CollateralGroupVertexCloseOut

java.lang.Object

org.drip.xva.hypothecation.CollateralGroupVertexCloseOut

public class CollateralGroupVertexCloseOut
extends java.lang.Object

CollateralGroupVertexCloseOut holds the Dealer and the Client Close Outs at each Re-hypothecation Collateral 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

• 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

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CollateralGroupVertexCloseOut(double dealer, double client)	CollateralGroupVertexCloseOut Constructor

Method Summary

Modifier and Type	Method	Description
double	client()	Retrieve the Client Close Out
double	dealer()	Retrieve the Dealer Close Out
static CollateralGroupVertexCloseOut	Standard(CloseOut closeOutGeneral, double uncollateralizedExposure, double collateralBalance)	Construct a Static Instance of CollateralGroupVertexCloseOut

Methods inherited from class java.lang.Object

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

Constructor Details

CollateralGroupVertexCloseOut

public CollateralGroupVertexCloseOut(double dealer,
double client)
                              throws java.lang.Exception

CollateralGroupVertexCloseOut Constructor

Parameters:

dealer - The Dealer Close Out

client - The Client Close Out

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Standard

public static final CollateralGroupVertexCloseOut Standard(CloseOut closeOutGeneral,
double uncollateralizedExposure,
double collateralBalance)

Construct a Static Instance of CollateralGroupVertexCloseOut

Parameters:

closeOutGeneral - The Close Out General Instance

uncollateralizedExposure - The Uncollateralized Exposure

collateralBalance - The Collateral Balance

Returns:

The Static Instance of PositionGroupVertexCloseOut

dealer

public double dealer()

Retrieve the Dealer Close Out

Returns:

The Dealer Close Out

client

public double client()

Retrieve the Client Close Out

Returns:

The Client Close Out