Package org.drip.xva.proto

Class CreditDebtGroupSpecification

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.proto.CreditDebtGroupSpecification

public class CreditDebtGroupSpecification
extends ObjectSpecification

CreditDebtGroupSpecification contains the Specification of a Credit/Debt Netting 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
CreditDebtGroupSpecification(java.lang.String id, java.lang.String name, EntityHazardLabel dealerHazardLabel, EntityHazardLabel clientHazardLabel, EntityRecoveryLabel dealerSeniorRecoveryLabel, EntityRecoveryLabel clientRecoveryLabel, EntityRecoveryLabel dealerSubordinateRecoveryLabel, boolean contractual, boolean enforceable)	CreditDebtGroupSpecification Constructor

Method Summary

Modifier and Type	Method	Description
EntityHazardLabel	clientHazardLabel()	Retrieve the Client Hazard Label
EntityRecoveryLabel	clientRecoveryLabel()	Retrieve the Client Recovery Label
boolean	contractual()	Indicate if the Netting allowed is Contractual
EntityHazardLabel	dealerHazardLabel()	Retrieve the Dealer Hazard Label
EntityRecoveryLabel	dealerSeniorRecoveryLabel()	Retrieve the Dealer Senior Recovery Label
EntityRecoveryLabel	dealerSubordinateRecoveryLabel()	Retrieve the Dealer Subordinate Recovery Label
boolean	enforceable()	Indicate if the Netting is Enforceable
static CreditDebtGroupSpecification	Standard(java.lang.String id, java.lang.String name, EntityHazardLabel dealerHazardLabel, EntityHazardLabel clientHazardLabel, EntityRecoveryLabel dealerSeniorRecoveryLabel, EntityRecoveryLabel clientRecoveryLabel, EntityRecoveryLabel dealerSubordinateRecoveryLabel)	Generate a Standard Instance of CreditDebtGroupSpecification

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

CreditDebtGroupSpecification

public CreditDebtGroupSpecification(java.lang.String id,
java.lang.String name,
EntityHazardLabel dealerHazardLabel,
EntityHazardLabel clientHazardLabel,
EntityRecoveryLabel dealerSeniorRecoveryLabel,
EntityRecoveryLabel clientRecoveryLabel,
EntityRecoveryLabel dealerSubordinateRecoveryLabel,
boolean contractual,
boolean enforceable)
                             throws java.lang.Exception

CreditDebtGroupSpecification Constructor

Parameters:

id - The Collateral Group ID

name - The Collateral Group Name

dealerHazardLabel - The Dealer Hazard Rate Latent State Label

clientHazardLabel - The Client Hazard Rate Latent State Label

dealerSeniorRecoveryLabel - The Dealer Senior Recovery Rate Latent State Label

clientRecoveryLabel - The Client Recovery Rate Latent State Label

dealerSubordinateRecoveryLabel - The Dealer Subordinate Recovery Rate Latent State Label

contractual - TRUE - The Netting is Contractual

enforceable - TRUE - The Netting is Enforceable

Throws:

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

Method Details

Standard

public static final CreditDebtGroupSpecification Standard(java.lang.String id,
java.lang.String name,
EntityHazardLabel dealerHazardLabel,
EntityHazardLabel clientHazardLabel,
EntityRecoveryLabel dealerSeniorRecoveryLabel,
EntityRecoveryLabel clientRecoveryLabel,
EntityRecoveryLabel dealerSubordinateRecoveryLabel)

Generate a Standard Instance of CreditDebtGroupSpecification

Parameters:

id - The Collateral Group ID

name - The Collateral Group Name

dealerHazardLabel - The Dealer Hazard Rate Latent State Label

clientHazardLabel - The Client Hazard Rate Latent State Label

dealerSeniorRecoveryLabel - The Dealer Senior Recovery Rate Latent State Label

clientRecoveryLabel - The Client Recovery Rate Latent State Label

dealerSubordinateRecoveryLabel - The Dealer Subordinate Recovery Rate Latent State Label

Returns:

Standard Instance of NettingGroupSpecification

contractual

public boolean contractual()

Indicate if the Netting allowed is Contractual

Returns:

TRUE - The Netting allowed is Contractual

enforceable

public boolean enforceable()

Indicate if the Netting is Enforceable

Returns:

TRUE - The Netting is Enforceable

dealerHazardLabel

public EntityHazardLabel dealerHazardLabel()

Retrieve the Dealer Hazard Label

Returns:

The Dealer Hazard Label

clientHazardLabel

public EntityHazardLabel clientHazardLabel()

Retrieve the Client Hazard Label

Returns:

The Client Hazard Label

dealerSeniorRecoveryLabel

public EntityRecoveryLabel dealerSeniorRecoveryLabel()

Retrieve the Dealer Senior Recovery Label

Returns:

The Dealer Senior Recovery Label

dealerSubordinateRecoveryLabel

public EntityRecoveryLabel dealerSubordinateRecoveryLabel()

Retrieve the Dealer Subordinate Recovery Label

Returns:

The Dealer Subordinate Recovery Label

clientRecoveryLabel

public EntityRecoveryLabel clientRecoveryLabel()

Retrieve the Client Recovery Label

Returns:

The Client Recovery Label