Package org.drip.xva.pde

Class BurgardKjaerEdgeAttribution

java.lang.Object

org.drip.xva.pde.BurgardKjaerEdge

org.drip.xva.pde.BurgardKjaerEdgeAttribution

public class BurgardKjaerEdgeAttribution
extends BurgardKjaerEdge

BurgardKjaerEdgeAttribution collects the Attribution Components of the Burgard Kjaer PDE based on the Risk-Neutral Ito Evolution of the Derivative, 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

• Module = Portfolio Core Module
• Library = XVA Analytics Library
• Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
• Package = Burgard Kjaer PDE Evolution Scheme

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BurgardKjaerEdgeAttribution(double positionValueBump, double derivativeXVAStochasticGrowthDown, double derivativeXVAStochasticGrowth, double derivativeXVAStochasticGrowthUp, double derivativeXVACollateralGrowth, double derivativeXVAEarlyTerminationGrowth, double derivativeXVAFundingGrowth, double derivativeXVADealerDefaultGrowth, double derivativeXVAClientDefaultGrowth)	BurgardKjaerEdgeAttribution Constructor

Method Summary

Modifier and Type	Method	Description
double	derivativeXVAClientDefaultGrowth()	Retrieve the Client Default Component of the Derivative XVA Value Growth
double	derivativeXVADealerDefaultGrowth()	Retrieve the Dealer Default Component of the Derivative XVA Value Growth
double	derivativeXVAEarlyTerminationGrowth()	Retrieve the Early Termination Component of the Derivative XVA Value Growth
double	derivativeXVAFundingGrowth()	Retrieve the Funding Component of the Derivative XVA Value Growth
double	theta()	Compute the Gross Theta from Position Value Base
double	thetaPositionValueDown()	Compute the Gross Theta from Position Value Down
double	thetaPositionValueUp()	Compute the Gross Theta from Position Value Up

Methods inherited from class org.drip.xva.pde.BurgardKjaerEdge

derivativeXVACollateralGrowth, derivativeXVAStochasticGrowth, derivativeXVAStochasticGrowthDown, derivativeXVAStochasticGrowthUp, positionValueBump

Methods inherited from class java.lang.Object

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

Constructor Details

BurgardKjaerEdgeAttribution

public BurgardKjaerEdgeAttribution(double positionValueBump,
double derivativeXVAStochasticGrowthDown,
double derivativeXVAStochasticGrowth,
double derivativeXVAStochasticGrowthUp,
double derivativeXVACollateralGrowth,
double derivativeXVAEarlyTerminationGrowth,
double derivativeXVAFundingGrowth,
double derivativeXVADealerDefaultGrowth,
double derivativeXVAClientDefaultGrowth)
                            throws java.lang.Exception

BurgardKjaerEdgeAttribution Constructor

Parameters:

positionValueBump - The Bump in the Position Value

derivativeXVAStochasticGrowthDown - The Stochastic Down Component of the Derivative XVA Value Growth

derivativeXVAStochasticGrowth - The Stochastic Component of the Derivative XVA Value Growth

derivativeXVAStochasticGrowthUp - The Stochastic Up Component of the Derivative XVA Value Growth

derivativeXVACollateralGrowth - The Collateral Component of the Derivative XVA Value Growth

derivativeXVAEarlyTerminationGrowth - The Early Termination Component of the Derivative XVA Value Growth

derivativeXVAFundingGrowth - The Funding Component of the Derivative XVA Value Growth

derivativeXVADealerDefaultGrowth - The Dealer Default Component of the Derivative Value XVA Growth

derivativeXVAClientDefaultGrowth - The Client Default Component of the Derivative XVA Value Growth

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

derivativeXVAEarlyTerminationGrowth

public double derivativeXVAEarlyTerminationGrowth()

Retrieve the Early Termination Component of the Derivative XVA Value Growth

Returns:

The Early Termination Component of the Derivative XVA Value Growth

derivativeXVAFundingGrowth

public double derivativeXVAFundingGrowth()

Retrieve the Funding Component of the Derivative XVA Value Growth

Returns:

The Funding Component of the Derivative XVA Value Growth

derivativeXVADealerDefaultGrowth

public double derivativeXVADealerDefaultGrowth()

Retrieve the Dealer Default Component of the Derivative XVA Value Growth

Returns:

The Dealer Default Component of the Derivative XVA Value Growth

derivativeXVAClientDefaultGrowth

public double derivativeXVAClientDefaultGrowth()

Retrieve the Client Default Component of the Derivative XVA Value Growth

Returns:

The Client Default Component of the Derivative XVA Value Growth

thetaPositionValueDown

public double thetaPositionValueDown()

Description copied from class: BurgardKjaerEdge

Compute the Gross Theta from Position Value Down

Specified by:

thetaPositionValueDown in class BurgardKjaerEdge

Returns:

The Gross Theta from Position Value Down

theta

public double theta()

Description copied from class: BurgardKjaerEdge

Compute the Gross Theta from Position Value Base

Specified by:

theta in class BurgardKjaerEdge

Returns:

The Gross Theta from Position Value Base

thetaPositionValueUp

public double thetaPositionValueUp()

Description copied from class: BurgardKjaerEdge

Compute the Gross Theta from Position Value Up

Specified by:

thetaPositionValueUp in class BurgardKjaerEdge

Returns:

The Gross Theta from Position Value Up