Package org.drip.xva.pde

Burgard Kjaer PDE Evolution Scheme

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
BurgardKjaerEdge	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).
BurgardKjaerEdgeAttribution	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).
BurgardKjaerEdgeRun	BurgardKjaerEdgeRun collects the Results of the Burgard Kjaer PDE based on the Risk-Neutral Ito Evolution of the Derivative, as laid out in Burgard and Kjaer (2014).
BurgardKjaerOperator	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).
ParabolicDifferentialOperator	ParabolicDifferentialOperator sets up the Parabolic Differential Equation based on the Ito Evolution Differential for the Reference Underlier Asset, as laid out in Burgard and Kjaer (2014).
TrajectoryEvolutionScheme	TrajectoryEvolutionScheme holds the Evolution Edges of a Trajectory evolved in a Dynamically Adaptive Manner, as laid out in Burgard and Kjaer (2014).