Package org.drip.xva.settings

Class BrokenDateScheme

java.lang.Object
org.drip.xva.settings.BrokenDateScheme
public class BrokenDateScheme
extends java.lang.Object
BrokenDateScheme holds the Broken Date Interpolation Scheme to generate Intermediate Values for the Path Exposures and Collateral Balances. 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




Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int LINEAR_TIME
    Linear Time Based Broken Date Interpolation Scheme
    static int SQUARE_ROOT_OF_TIME
    Square Root of Time Based Broken Date Interpolation Scheme
    static int THREE_POINT_BROWNIAN_BRIDGE
    Three Point Brownian Bridge Based Broken Date Interpolation Scheme

  • Constructor Summary

    Constructors
    Constructor Description
    BrokenDateScheme()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • THREE_POINT_BROWNIAN_BRIDGE

      public static final int THREE_POINT_BROWNIAN_BRIDGE
      Three Point Brownian Bridge Based Broken Date Interpolation Scheme
      See Also:
      Constant Field Values

    • LINEAR_TIME

      public static final int LINEAR_TIME
      Linear Time Based Broken Date Interpolation Scheme
      See Also:
      Constant Field Values

    • SQUARE_ROOT_OF_TIME

      public static final int SQUARE_ROOT_OF_TIME
      Square Root of Time Based Broken Date Interpolation Scheme
      See Also:
      Constant Field Values

  • Constructor Details

    • BrokenDateScheme

      public BrokenDateScheme()