Package org.drip.xva.pde

Class BurgardKjaerEdge

java.lang.Object
org.drip.xva.pde.BurgardKjaerEdge
Direct Known Subclasses:
BurgardKjaerEdgeAttribution, BurgardKjaerEdgeRun
public abstract class BurgardKjaerEdge
extends java.lang.Object
BurgardKjaerEdge holds the Underlier Stochastic and the Credit Risk Free Components of the XVA Derivative Value Growth, as laid out in Burgard and Kjaer (2014). 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
  • Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York
  • 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 Summary

    Modifier and Type Method Description
    double derivativeXVACollateralGrowth()
    Retrieve the Collateral Component of the Derivative XVA Value Growth
    double derivativeXVAStochasticGrowth()
    Retrieve the Stochastic Component of the Derivative XVA Value Growth
    double derivativeXVAStochasticGrowthDown()
    Retrieve the Stochastic Down Component of the Derivative XVA Value
    double derivativeXVAStochasticGrowthUp()
    Retrieve the Stochastic Up Component of the Derivative XVA Value
    double positionValueBump()
    Retrieve the Position Value Bump
    abstract double theta()
    Compute the Gross Theta from Position Value Base
    abstract double thetaPositionValueDown()
    Compute the Gross Theta from Position Value Down
    abstract double thetaPositionValueUp()
    Compute the Gross Theta from Position Value Up

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Method Details

    • positionValueBump

      public double positionValueBump()
      Retrieve the Position Value Bump
      Returns:
      The Position Value Bump

    • derivativeXVAStochasticGrowthDown

      public double derivativeXVAStochasticGrowthDown()
      Retrieve the Stochastic Down Component of the Derivative XVA Value
      Returns:
      The Stochastic Down Component of the Derivative XVA Value

    • derivativeXVAStochasticGrowth

      public double derivativeXVAStochasticGrowth()
      Retrieve the Stochastic Component of the Derivative XVA Value Growth
      Returns:
      The Stochastic Component of the Derivative XVA Value Growth

    • derivativeXVAStochasticGrowthUp

      public double derivativeXVAStochasticGrowthUp()
      Retrieve the Stochastic Up Component of the Derivative XVA Value
      Returns:
      The Stochastic Up Component of the Derivative XVA Value

    • derivativeXVACollateralGrowth

      public double derivativeXVACollateralGrowth()
      Retrieve the Collateral Component of the Derivative XVA Value Growth
      Returns:
      The Collateral Component of the Derivative XVA Value Growth

    • thetaPositionValueDown

      public abstract double thetaPositionValueDown()
      Compute the Gross Theta from Position Value Down
      Returns:
      The Gross Theta from Position Value Down

    • theta

      public abstract double theta()
      Compute the Gross Theta from Position Value Base
      Returns:
      The Gross Theta from Position Value Base

    • thetaPositionValueUp

      public abstract double thetaPositionValueUp()
      Compute the Gross Theta from Position Value Up
      Returns:
      The Gross Theta from Position Value Up