Package org.drip.xva.proto

Class FundingGroupSpecification

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.proto.FundingGroupSpecification

public class FundingGroupSpecification
extends ObjectSpecification

FundingGroupSpecification contains the Specification Base of a Named Funding Group. The References are:

• Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management, and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301 eSSRN
• 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
• 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
FundingGroupSpecification(java.lang.String id, java.lang.String name, EntityFundingLabel dealerSeniorFundingLabel, EntityFundingLabel clientFundingLabel, EntityFundingLabel dealerSubordinateFundingLabel)	FundingGroupSpecification Constructor

Method Summary

Modifier and Type	Method	Description
EntityFundingLabel	clientFundingLabel()	Retrieve the Client Funding Label
EntityFundingLabel	dealerSeniorFundingLabel()	Retrieve the Dealer Senior Funding Label
EntityFundingLabel	dealerSubordinateFundingLabel()	Retrieve the Dealer Subordinate Funding 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

FundingGroupSpecification

public FundingGroupSpecification(java.lang.String id,
java.lang.String name,
EntityFundingLabel dealerSeniorFundingLabel,
EntityFundingLabel clientFundingLabel,
EntityFundingLabel dealerSubordinateFundingLabel)
                          throws java.lang.Exception

FundingGroupSpecification Constructor

Parameters:

id - Funding Group ID

name - Funding Group Name

dealerSeniorFundingLabel - Dealer Senior Funding Label

clientFundingLabel - Client Funding Label

dealerSubordinateFundingLabel - Dealer Subordinate Funding Label

Throws:

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

Method Details

dealerSeniorFundingLabel

public EntityFundingLabel dealerSeniorFundingLabel()

Retrieve the Dealer Senior Funding Label

Returns:

The Dealer Senior Funding Label

dealerSubordinateFundingLabel

public EntityFundingLabel dealerSubordinateFundingLabel()

Retrieve the Dealer Subordinate Funding Label

Returns:

The Dealer Subordinate Funding Label

clientFundingLabel

public EntityFundingLabel clientFundingLabel()

Retrieve the Client Funding Label

Returns:

The Client Funding Label