Package org.drip.xva.hypothecation

Interface CollateralGroupVertexExposureComponent

All Known Implementing Classes:
AlbaneseAndersen, BurgardKjaer, BurgardKjaerExposure, CollateralGroupVertex
public interface CollateralGroupVertexExposureComponent
CollateralGroupVertexExposureComponent holds the Credit, the Debt, and the Funding Exposures, as well as 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

  • Method Summary

    Modifier and Type Method Description
    double credit()
    Retrieve the Credit Exposure of the Collateral Group
    double debt()
    Retrieve the Debt Exposure of the Collateral Group
    double funding()
    Retrieve the Funding Exposure of the Collateral Group
    double variationMarginPosting()
    Retrieve the Posted Variation Margin of the Collateral Group

  • Method Details

    • credit

      double credit()
      Retrieve the Credit Exposure of the Collateral Group
      Returns:
      The Credit Exposure

    • debt

      double debt()
      Retrieve the Debt Exposure of the Collateral Group
      Returns:
      The Debt Exposure

    • funding

      double funding()
      Retrieve the Funding Exposure of the Collateral Group
      Returns:
      The Funding Exposure

    • variationMarginPosting

      double variationMarginPosting()
      Retrieve the Posted Variation Margin of the Collateral Group
      Returns:
      The Posted Variation Margin Balance