Package org.drip.xva.hypothecation

Class CollateralGroupVertexExposure

java.lang.Object
org.drip.xva.hypothecation.CollateralGroupVertexExposure
Direct Known Subclasses:
CollateralGroupVertex
public class CollateralGroupVertexExposure
extends java.lang.Object
CollateralGroupVertexExposure holds the Uncollateralized Exposure and the Collateral Balances 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




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CollateralGroupVertexExposure​(double variationMarginEstimate, double tradePayment)
    CollateralGroupVertexExposure Constructor

  • Method Summary

    Modifier and Type Method Description
    double tradePayment()
    Retrieve the Accrued Trade Payment Exposure
    double uncollateralized()
    Retrieve the Gross Uncollateralized Exposure Estimate
    double variationMarginEstimate()
    Retrieve the Unrealized Variation Margin Forward Exposure
    static CollateralGroupVertexExposure VariationMarginOnly​(double variationMarginEstimate)
    Construct the Variation Margin CollateralGroupVertexExposure Instance

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CollateralGroupVertexExposure

      public CollateralGroupVertexExposure​(double variationMarginEstimate, double tradePayment) throws java.lang.Exception
      CollateralGroupVertexExposure Constructor
      Parameters:
      variationMarginEstimate - The Unrealized Variation Margin Forward Exposure Estimate
      tradePayment - The Accrued Trade Payment Exposure
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • VariationMarginOnly

      public static final CollateralGroupVertexExposure VariationMarginOnly​(double variationMarginEstimate)
      Construct the Variation Margin CollateralGroupVertexExposure Instance
      Parameters:
      variationMarginEstimate - The Unrealized Variation Margin Forward Exposure Estimate
      Returns:
      Variation Margin CollateralGroupVertexExposure Instance

    • variationMarginEstimate

      public double variationMarginEstimate()
      Retrieve the Unrealized Variation Margin Forward Exposure
      Returns:
      The Unrealized Variation Margin Forward Exposure

    • tradePayment

      public double tradePayment()
      Retrieve the Accrued Trade Payment Exposure
      Returns:
      The Accrued Trade Payment Exposure

    • uncollateralized

      public double uncollateralized()
      Retrieve the Gross Uncollateralized Exposure Estimate
      Returns:
      The Gross Uncollateralized Exposure Estimate