Package org.drip.xva.netting

Class CreditDebtGroupPath

java.lang.Object
org.drip.xva.netting.CreditDebtGroupPath
Direct Known Subclasses:
AlbaneseAndersenNettingGroupPath
public abstract class CreditDebtGroupPath
extends java.lang.Object
CreditDebtGroupPath rolls up the Path Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Hypothecation Groups onto a Single Credit/Debt Netting Group - the Purpose being to calculate Credit Valuation Adjustments. 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 Details

    • collateralGroupPaths

      public CollateralGroupPath[] collateralGroupPaths()
      Retrieve the Array of the Position Hypothecation Group Trajectory Paths
      Returns:
      Array of the Position Hypothecation Group Trajectory Paths

    • 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

    • vertexCollateralizedPositiveExposure

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

    • vertexCollateralizedPositiveExposurePV

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

    • vertexCollateralizedNegativeExposure

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

    • vertexCollateralizedNegativeExposurePV

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

    • vertexUncollateralizedPositiveExposure

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

    • vertexUncollateralizedPositiveExposurePV

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

    • vertexUncollateralizedNegativeExposure

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

    • vertexUncollateralizedNegativeExposurePV

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

    • vertexCreditExposure

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

    • 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 Exposure
      Returns:
      The Array of Vertex Debt Exposure

    • vertexDebtExposurePV

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

    • vertexFundingExposure

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

    • vertexFundingExposurePV

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

    • unilateralCreditAdjustment

      public double unilateralCreditAdjustment()
      Compute Path Unilateral Credit Adjustment
      Returns:
      The Path Unilateral Credit Adjustment

    • bilateralCreditAdjustment

      public double bilateralCreditAdjustment()
      Compute Path Bilateral Credit Adjustment
      Returns:
      The Path Bilateral Credit Adjustment

    • contraLiabilityCreditAdjustment

      public double contraLiabilityCreditAdjustment()
      Compute Path Contra-Liability Credit Adjustment
      Returns:
      The Path Contra-Liability Credit Adjustment

    • unilateralDebtAdjustment

      public double unilateralDebtAdjustment()
      Compute Path Unilateral Debt Adjustment
      Returns:
      The Path Unilateral Debt Adjustment

    • bilateralDebtAdjustment

      public double bilateralDebtAdjustment()
      Compute Path Bilateral Debt Adjustment
      Returns:
      The Path Bilateral Debt Adjustment

    • contraAssetDebtAdjustment

      public double contraAssetDebtAdjustment()
      Compute Path Contra-Asset Debt Adjustment
      Returns:
      The Path Contra-Asset Debt Adjustment

    • symmetricFundingValueSpread01

      public double symmetricFundingValueSpread01()
      Compute Path Symmetric Funding Value Spread 01
      Returns:
      The Path Symmetric Funding Value Spread 01

    • unilateralFundingValueSpread01

      public double unilateralFundingValueSpread01()
      Compute Path Unilateral Funding Value Spread 01
      Returns:
      The Path Unilateral Funding Value Spread 01

    • bilateralFundingValueSpread01

      public double bilateralFundingValueSpread01()
      Compute Path Bilateral Funding Value Spread 01
      Returns:
      The Path Bilateral Funding Value Spread 01

    • unilateralFundingDebtAdjustment

      public double unilateralFundingDebtAdjustment()
      Compute Path Unilateral Funding Debt Adjustment
      Returns:
      The Path Unilateral Funding Debt Adjustment

    • bilateralFundingDebtAdjustment

      public double bilateralFundingDebtAdjustment()
      Compute Path Bilateral Funding Debt Adjustment
      Returns:
      The Path Bilateral Funding Debt Adjustment

    • unilateralCollateralAdjustment

      public double unilateralCollateralAdjustment()
      Compute Path Unilateral Collateral Value Adjustment
      Returns:
      The Path Unilateral Collateral Value Adjustment

    • bilateralCollateralAdjustment

      public double bilateralCollateralAdjustment()
      Compute Path Bilateral Collateral Value Adjustment
      Returns:
      The Path Bilateral Collateral Value Adjustment

    • collateralValueAdjustment

      public double collateralValueAdjustment()
      Compute Path Collateral Value Adjustment
      Returns:
      The Path Collateral Value Adjustment

    • periodSymmetricFundingValueSpread01

      public double[] periodSymmetricFundingValueSpread01()
      Compute Period-wise Symmetric Funding Value Spread 01
      Returns:
      The Period-wise Symmetric Funding Value Spread 01

    • periodUnilateralCreditAdjustment

      public double[] periodUnilateralCreditAdjustment()
      Compute Period-wise Unilateral Credit Adjustment
      Returns:
      The Period-wise Unilateral Credit Adjustment

    • periodBilateralCreditAdjustment

      public double[] periodBilateralCreditAdjustment()
      Compute Period-wise Bilateral Credit Adjustment
      Returns:
      The Period-wise Bilateral Credit Adjustment

    • periodContraLiabilityCreditAdjustment

      public double[] periodContraLiabilityCreditAdjustment()
      Compute Period-wise Contra-Liability Credit Adjustment
      Returns:
      The Period-wise Contra-Liability Credit Adjustment

    • periodUnilateralDebtAdjustment

      public double[] periodUnilateralDebtAdjustment()
      Compute Period-wise Unilateral Debt Adjustment
      Returns:
      The Period-wise Unilateral Debt Adjustment

    • periodBilateralDebtAdjustment

      public double[] periodBilateralDebtAdjustment()
      Compute Period-wise Bilateral Debt Adjustment
      Returns:
      The Period-wise Bilateral Debt Adjustment

    • periodUnilateralFundingValueSpread01

      public double[] periodUnilateralFundingValueSpread01()
      Compute Period Unilateral Funding Value Spread 01
      Returns:
      The Period Unilateral Funding Value Spread 01

    • periodBilateralFundingValueSpread01

      public double[] periodBilateralFundingValueSpread01()
      Compute Period Bilateral Funding Value Spread 01
      Returns:
      The Period Bilateral Funding Value Spread 01

    • periodUnilateralFundingDebtAdjustment

      public double[] periodUnilateralFundingDebtAdjustment()
      Compute Period Unilateral Funding Debt Adjustment
      Returns:
      The Period Unilateral Funding Debt Adjustment

    • periodBilateralFundingDebtAdjustment

      public double[] periodBilateralFundingDebtAdjustment()
      Compute Period Bilateral Funding Debt Adjustment
      Returns:
      The Period Bilateral Funding Debt Adjustment

    • creditAdjustment

      public abstract double creditAdjustment()
      Compute Path Credit Adjustment
      Returns:
      The Path Credit Adjustment

    • debtAdjustment

      public abstract double debtAdjustment()
      Compute Path Debt Adjustment
      Returns:
      The Path Debt Adjustment

    • periodCreditAdjustment

      public abstract double[] periodCreditAdjustment()
      Compute Period-wise Credit Adjustment
      Returns:
      The Period-wise Credit Adjustment

    • periodDebtAdjustment

      public abstract double[] periodDebtAdjustment()
      Compute Period-wise Debt Adjustment
      Returns:
      The Period-wise Debt Adjustment