Package org.drip.xva.pde

Class BurgardKjaerOperator

java.lang.Object

org.drip.xva.pde.BurgardKjaerOperator

public class BurgardKjaerOperator
extends java.lang.Object

BurgardKjaerOperator sets up the Parabolic Differential Equation PDE based on the Ito Evolution Differential for the Reference Underlier Asset, 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
BurgardKjaerOperator(PrimarySecurityDynamicsContainer tradeablesContainer, PDEEvolutionControl pdeEvolutionControl)	BurgardKjaerOperator Constructor

Method Summary

Modifier and Type	Method	Description
BurgardKjaerEdgeRun	edgeRun(MarketEdge marketEdge, EvolutionTrajectoryVertex initialTrajectoryVertex, double collateral)	Generate the Derivative Value Time Increment using the Burgard Kjaer Scheme
BurgardKjaerEdgeAttribution	edgeRunAttribution(MarketEdge marketEdge, EvolutionTrajectoryVertex initialTrajectoryVertex, double collateral)	Generate the Time Increment Run Attribution using the Burgard Kjaer Scheme
PDEEvolutionControl	pdeEvolutionControl()	Retrieve the PDE Evolution Control Settings
PrimarySecurityDynamicsContainer	tradeablesContainer()	Retrieve the Universe of Trade-able Assets

Methods inherited from class java.lang.Object

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

Constructor Details

BurgardKjaerOperator

public BurgardKjaerOperator(PrimarySecurityDynamicsContainer tradeablesContainer,
PDEEvolutionControl pdeEvolutionControl)
                     throws java.lang.Exception

BurgardKjaerOperator Constructor

Parameters:

tradeablesContainer - The Universe of Tradeable Assets

pdeEvolutionControl - The XVA Control Settings

Throws:

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

Method Details

tradeablesContainer

public PrimarySecurityDynamicsContainer tradeablesContainer()

Retrieve the Universe of Trade-able Assets

Returns:

The Universe of Trade-able Assets

pdeEvolutionControl

public PDEEvolutionControl pdeEvolutionControl()

Retrieve the PDE Evolution Control Settings

Returns:

The PDE Evolution Control Settings

edgeRun

public BurgardKjaerEdgeRun edgeRun(MarketEdge marketEdge,
EvolutionTrajectoryVertex initialTrajectoryVertex,
double collateral)

Generate the Derivative Value Time Increment using the Burgard Kjaer Scheme

Parameters:

marketEdge - The Market Edge

initialTrajectoryVertex - The Evolution Trajectory Vertex

collateral - The Off-setting Collateral

Returns:

The Time Increment using the Burgard Kjaer Scheme

edgeRunAttribution

public BurgardKjaerEdgeAttribution edgeRunAttribution(MarketEdge marketEdge,
EvolutionTrajectoryVertex initialTrajectoryVertex,
double collateral)

Generate the Time Increment Run Attribution using the Burgard Kjaer Scheme

Parameters:

marketEdge - The Market Edge

initialTrajectoryVertex - The Starting Evolution Trajectory Vertex

collateral - The Off-setting Collateral

Returns:

The Time Increment Run Attribution using the Burgard Kjaer Scheme