Package org.drip.xva.netting

Class FundingGroupPath

java.lang.Object
org.drip.xva.netting.FundingGroupPath
Direct Known Subclasses:
AlbaneseAndersenFundingGroupPath
public abstract class FundingGroupPath
extends java.lang.Object
FundingGroupPath holds up the Strategy Abstract Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Groups onto a Single Funding Group - the Purpose being to calculate Funding 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

    • creditDebtGroupPathArray

      public CreditDebtGroupPath[] creditDebtGroupPathArray()
      Retrieve the Array of CreditDebtGroupPath
      Returns:
      The Array of CreditDebtGroupPath

    • 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

    • 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

    • periodSymmetricFundingValueSpread01

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

    • 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

    • symmetricFundingValueAdjustment

      public double symmetricFundingValueAdjustment()
      Compute Path Symmetric Funding Value Adjustment
      Returns:
      The Path Symmetric Funding Value Adjustment

    • unilateralFundingValueAdjustment

      public double unilateralFundingValueAdjustment()
      Compute Path Unilateral Funding Value Adjustment
      Returns:
      The Path Unilateral Funding Value Adjustment

    • bilateralFundingValueAdjustment

      public double bilateralFundingValueAdjustment()
      Compute Path Bilateral Funding Value Adjustment
      Returns:
      The Path Bilateral Funding Value Adjustment

    • 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

    • vertexCollateralizedExposure

      public double[] vertexCollateralizedExposure()
      Compute Vertex Path Collateralized Exposure
      Returns:
      The Vertex Path Collateralized Exposure

    • vertexCollateralizedExposurePV

      public double[] vertexCollateralizedExposurePV()
      Compute Vertex Path Collateralized Exposure PV
      Returns:
      The Vertex Path Collateralized Exposure PV

    • vertexCollateralizedPositiveExposure

      public double[] vertexCollateralizedPositiveExposure()
      Compute Vertex Path Collateralized Positive Exposure
      Returns:
      The Vertex Path Collateralized Positive Exposure

    • vertexCollateralizedPositiveExposurePV

      public double[] vertexCollateralizedPositiveExposurePV()
      Compute Vertex Path Collateralized Positive Exposure PV
      Returns:
      The Vertex Path Collateralized Positive Exposure PV

    • vertexCollateralizedNegativeExposure

      public double[] vertexCollateralizedNegativeExposure()
      Compute Vertex Path Collateralized Negative Exposure
      Returns:
      The Vertex Path Collateralized Negative Exposure

    • vertexCollateralizedNegativeExposurePV

      public double[] vertexCollateralizedNegativeExposurePV()
      Compute Vertex Path Collateralized Negative Exposure PV
      Returns:
      The Vertex Path Collateralized Negative Exposure PV

    • vertexUncollateralizedExposure

      public double[] vertexUncollateralizedExposure()
      Compute Vertex Path Uncollateralized Exposure
      Returns:
      The Vertex Path Uncollateralized Exposure

    • vertexUncollateralizedExposurePV

      public double[] vertexUncollateralizedExposurePV()
      Compute Vertex Path Uncollateralized Exposure PV
      Returns:
      The Vertex Path Uncollateralized Exposure PV

    • vertexUncollateralizedPositiveExposure

      public double[] vertexUncollateralizedPositiveExposure()
      Compute Vertex Path Uncollateralized Positive Exposure
      Returns:
      The Vertex Path Uncollateralized Positive Exposure

    • vertexUncollateralizedPositiveExposurePV

      public double[] vertexUncollateralizedPositiveExposurePV()
      Compute Vertex Path Uncollateralized Positive Exposure PV
      Returns:
      The Vertex Path Uncollateralized Positive Exposure PV

    • vertexUncollateralizedNegativeExposure

      public double[] vertexUncollateralizedNegativeExposure()
      Compute Vertex Path Uncollateralized Negative Exposure
      Returns:
      The Vertex Path Uncollateralized Negative Exposure

    • vertexUncollateralizedNegativeExposurePV

      public double[] vertexUncollateralizedNegativeExposurePV()
      Compute Vertex Path Uncollateralized Negative Exposure PV
      Returns:
      The Vertex Path Uncollateralized Negative Exposure PV

    • vertexFundingExposure

      public double[] vertexFundingExposure()
      Compute Vertex Path Funding Exposure
      Returns:
      The Vertex Path Funding Exposure

    • vertexFundingExposurePV

      public double[] vertexFundingExposurePV()
      Compute Vertex Path Funding Exposure PV
      Returns:
      The Vertex Path Funding Exposure PV

    • periodSymmetricFundingValueAdjustment

      public double[] periodSymmetricFundingValueAdjustment()
      Compute Period-wise Path Symmetric Funding Value Adjustment
      Returns:
      The Period-wise Path Symmetric Funding Value Adjustment

    • periodUnilateralFundingValueAdjustment

      public double[] periodUnilateralFundingValueAdjustment()
      Compute Period-wise Unilateral Path Funding Value Adjustment
      Returns:
      The Period-wise Unilateral Path Funding Value Adjustment

    • periodBilateralFundingValueAdjustment

      public double[] periodBilateralFundingValueAdjustment()
      Compute Period-wise Bilateral Path Funding Value Adjustment
      Returns:
      The Period-wise Bilateral Path Funding Value Adjustment

    • periodUnilateralFundingDebtAdjustment

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

    • periodBilateralFundingDebtAdjustment

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

    • unilateralCreditAdjustment

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

    • bilateralCreditAdjustment

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

    • bilateralDebtAdjustment

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

    • contraAssetDebtAdjustment

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

    • fundingValueAdjustment

      public abstract double fundingValueAdjustment()
      Compute Path Funding Value Adjustment
      Returns:
      The Path Funding Value Adjustment

    • fundingDebtAdjustment

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

    • fundingCostAdjustment

      public abstract double fundingCostAdjustment()
      Compute Path Funding Cost Adjustment
      Returns:
      The Path Funding Cost Adjustment

    • fundingBenefitAdjustment

      public abstract double fundingBenefitAdjustment()
      Compute Path Funding Benefit Adjustment
      Returns:
      The Path Funding Benefit Adjustment

    • periodFundingValueAdjustment

      public abstract double[] periodFundingValueAdjustment()
      Compute Period-wise Path Funding Value Adjustment
      Returns:
      The Period-wise Path Funding Value Adjustment

    • periodFundingDebtAdjustment

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

    • periodFundingCostAdjustment

      public abstract double[] periodFundingCostAdjustment()
      Compute Period-wise Path Funding Cost Adjustment
      Returns:
      The Period-wise Path Funding Cost Adjustment

    • periodFundingBenefitAdjustment

      public abstract double[] periodFundingBenefitAdjustment()
      Compute Period-wise Path Funding Benefit Adjustment
      Returns:
      The Period-wise Path Funding Benefit Adjustment