Package org.drip.xva.settings

Class AdjustmentDigestScheme

java.lang.Object

org.drip.xva.settings.AdjustmentDigestScheme

public class AdjustmentDigestScheme
extends java.lang.Object

AdjustmentDigestScheme contains Settings to the Schemes that generate Aggregated Valuation Adjustment Metrics. The References are:

• Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Rehypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 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
• Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN
• 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 = XVA Group and Path Settings

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static int	ALBANESE_ANDERSEN_METRICS_POINTER	Albanese Andersen Metrics Pointer Scheme

Constructor Summary

Constructors

Constructor	Description
AdjustmentDigestScheme()

Method Summary

Methods inherited from class java.lang.Object

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

Field Details

ALBANESE_ANDERSEN_METRICS_POINTER

public static final int ALBANESE_ANDERSEN_METRICS_POINTER

Albanese Andersen Metrics Pointer Scheme

See Also:

Constant Field Values

Constructor Details

AdjustmentDigestScheme

public AdjustmentDigestScheme()