Package org.drip.xva.proto

Class PositionSchemaSpecification

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.proto.PositionSchemaSpecification

public class PositionSchemaSpecification
extends ObjectSpecification

PositionSchemaSpecification contains the Specifications of a Position Schema. 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
PositionSchemaSpecification(java.lang.String id, java.lang.String name, PositionGroupSpecification positionGroupSpecification, CollateralGroupSpecification collateralGroupSpecification, CreditDebtGroupSpecification creditDebtGroupSpecification, FundingGroupSpecification fundingGroupSpecification)	PositionSchemaSpecification Constructor

Method Summary

Modifier and Type	Method	Description
CollateralGroupSpecification	collateralGroupSpecification()	Retrieve the Collateral Group Specification
CreditDebtGroupSpecification	creditDebtGroupSpecification()	Retrieve the Credit Debt Group Specification
FundingGroupSpecification	fundingGroupSpecification()	Retrieve the Funding Group Specification
PositionGroupSpecification	positionGroupSpecification()	Retrieve the Margin Group Specification

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

PositionSchemaSpecification

public PositionSchemaSpecification(java.lang.String id,
java.lang.String name,
PositionGroupSpecification positionGroupSpecification,
CollateralGroupSpecification collateralGroupSpecification,
CreditDebtGroupSpecification creditDebtGroupSpecification,
FundingGroupSpecification fundingGroupSpecification)
                            throws java.lang.Exception

PositionSchemaSpecification Constructor

Parameters:

id - The Position Group ID

name - The Position Group Name

positionGroupSpecification - The Position Group Specification

collateralGroupSpecification - The Collateral Group Specification

creditDebtGroupSpecification - The Credit Debt Group Specification

fundingGroupSpecification - The Funding Group Specification

Throws:

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

Method Details

positionGroupSpecification

public PositionGroupSpecification positionGroupSpecification()

Retrieve the Margin Group Specification

Returns:

The Margin Group Specification

collateralGroupSpecification

public CollateralGroupSpecification collateralGroupSpecification()

Retrieve the Collateral Group Specification

Returns:

The Collateral Group Specification

creditDebtGroupSpecification

public CreditDebtGroupSpecification creditDebtGroupSpecification()

Retrieve the Credit Debt Group Specification

Returns:

The Credit Debt Group Specification

fundingGroupSpecification

public FundingGroupSpecification fundingGroupSpecification()

Retrieve the Funding Group Specification

Returns:

The Funding Group Specification