Package org.drip.xva.netting

Class CollateralGroupPath

java.lang.Object
org.drip.xva.netting.CollateralGroupPath
public class CollateralGroupPath
extends java.lang.Object
CollateralGroupPath accumulates the Vertex Realizations of the Sequence in a Single Path Projection Run along the Granularity of a Regular Collateral Hypothecation 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 Details

    • CollateralGroupPath

      public CollateralGroupPath​(CollateralGroupVertex[] collateralGroupVertexArray, MarketPath marketPath) throws java.lang.Exception
      CollateralGroupPath Constructor
      Parameters:
      collateralGroupVertexArray - The Array of Collateral Hypothecation Group Trajectory Vertexes
      marketPath - The Market Path
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • collateralGroupVertex

      public CollateralGroupVertex[] collateralGroupVertex()
      Retrieve the Array of Collateral Group Trajectory Vertexes
      Returns:
      The Array of Collateral Group Trajectory Vertexes

    • marketPath

      public MarketPath marketPath()
      Retrieve the Market Path
      Returns:
      The Market Path

    • vertexDates

      public JulianDate[] vertexDates()
      Retrieve the Array of the Vertex Anchor Dates
      Returns:
      The Array of the Vertex Anchor Dates

    • vertexCollateralizedExposure

      public double[] vertexCollateralizedExposure()
      Retrieve the Array of Vertex Collateralized Exposures
      Returns:
      The Array of Vertex Collateralized Exposures

    • vertexCollateralizedExposurePV

      public double[] vertexCollateralizedExposurePV()
      Retrieve the Array of Vertex Collateralized Exposure PV
      Returns:
      The Array of Vertex Collateralized Exposure PV

    • vertexUncollateralizedExposure

      public double[] vertexUncollateralizedExposure()
      Retrieve the Array of Vertex Uncollateralized Exposures
      Returns:
      The Array of Vertex Uncollateralized Exposures

    • vertexUncollateralizedExposurePV

      public double[] vertexUncollateralizedExposurePV()
      Retrieve the Array of Vertex Uncollateralized Exposure PV
      Returns:
      The Array of Vertex Uncollateralized Exposure PV

    • vertexCreditExposure

      public double[] vertexCreditExposure()
      Retrieve the Array of Vertex Credit Exposures
      Returns:
      The Array of Vertex Credit Exposures

    • vertexCreditExposurePV

      public double[] vertexCreditExposurePV()
      Retrieve the Array of Vertex Credit Exposure PV
      Returns:
      The Array of Vertex Credit Exposure PV

    • vertexDebtExposure

      public double[] vertexDebtExposure()
      Retrieve the Array of Vertex Debt Exposures
      Returns:
      The Array of Vertex Debt Exposures

    • vertexDebtExposurePV

      public double[] vertexDebtExposurePV()
      Retrieve the Array of Vertex Debt Exposures PV
      Returns:
      The Array of Vertex Debt Exposures PV

    • vertexFundingExposure

      public double[] vertexFundingExposure()
      Retrieve the Array of Vertex Funding Exposures
      Returns:
      The Array of Vertex Funding Exposures

    • vertexFundingExposurePV

      public double[] vertexFundingExposurePV()
      Retrieve the Array of Vertex Funding Exposures PV
      Returns:
      The Array of Vertex Funding Exposures PV

    • vertexCollateralBalance

      public double[] vertexCollateralBalance()
      Retrieve the Array of Vertex Collateral Balances
      Returns:
      The Array of Vertex Collateral Balances

    • vertexCollateralBalancePV

      public double[] vertexCollateralBalancePV()
      Retrieve the Array of Vertex Collateral Balances PV
      Returns:
      The Array of Vertex Collateral Balances PV

    • periodCollateralSpread01

      public double[] periodCollateralSpread01()
      Compute Period-wise Path Collateral Spread 01
      Returns:
      The Period-wise Path Collateral Spread 01

    • periodCollateralValueAdjustment

      public double[] periodCollateralValueAdjustment()
      Compute Period-wise Path Collateral Value Adjustment
      Returns:
      The Period-wise Path Collateral Value Adjustment