Package org.drip.xva.hypothecation

XVA Hypothecation Group Amount Estimation
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    CollateralGroupVertexExposureComponent
    CollateralGroupVertexExposureComponent holds the Credit, the Debt, and the Funding Exposures, as well as the Collateral Balances at each Re-hypothecation Collateral Group.
  • Class Summary
    Class Description
    CollateralGroupVertex
    CollateralGroupVertex holds the Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group.
    CollateralGroupVertexCloseOut
    CollateralGroupVertexCloseOut holds the Dealer and the Client Close Outs at each Re-hypothecation Collateral Group.
    CollateralGroupVertexExposure
    CollateralGroupVertexExposure holds the Uncollateralized Exposure and the Collateral Balances at each Re-hypothecation Collateral Group.