Package org.drip.xva.netting

Credit/Debt/Funding Netting Groups
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CollateralGroupPath
    CollateralGroupPath accumulates the Vertex Realizations of the Sequence in a Single Path Projection Run along the Granularity of a Regular Collateral Hypothecation Group.
    CreditDebtGroupPath
    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.
    FundingGroupPath
    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.