Uses of Package
org.drip.xva.pde

Packages that use org.drip.xva.pde
Package Description
org.drip.xva.pde
Burgard Kjaer PDE Evolution Scheme
  • Classes in org.drip.xva.pde used by org.drip.xva.pde
    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).