Package org.drip.xva.proto

Class CollateralGroupSpecification

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.proto.CollateralGroupSpecification

public class CollateralGroupSpecification
extends ObjectSpecification

CollateralGroupSpecification contains the Specifications of a Collateral Group. 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
• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
• 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 = Collateral, Counter Party, Netting Groups

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CollateralGroupSpecification(java.lang.String id, java.lang.String name, OvernightLabel overnightLabel, CSALabel csaLabel)	CollateralGroupSpecification Constructor

Method Summary

Modifier and Type	Method	Description
CSALabel	csaLabel()	Retrieve the CSA Label
OvernightLabel	overnightLabel()	Retrieve the Overnight Label

Methods inherited from class org.drip.xva.proto.ObjectSpecification

id, name

Methods inherited from class java.lang.Object

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

Constructor Details

CollateralGroupSpecification

public CollateralGroupSpecification(java.lang.String id,
java.lang.String name,
OvernightLabel overnightLabel,
CSALabel csaLabel)
                             throws java.lang.Exception

CollateralGroupSpecification Constructor

Parameters:

id - The Collateral Group ID

name - The Collateral Group Name

overnightLabel - The Overnight Latent State Label

csaLabel - The CSA Latent State Label

Throws:

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

Method Details

overnightLabel

public OvernightLabel overnightLabel()

Retrieve the Overnight Label

Returns:

The Overnight Label

csaLabel

public CSALabel csaLabel()

Retrieve the CSA Label

Returns:

The CSA Label