java.lang.Object

org.drip.xva.settings.CloseOutScheme

public class CloseOutScheme
extends java.lang.Object

CloseOutScheme carries the Close Out Specification Schemes for the Simulation. 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
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
Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011 eSSRN

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

Field Summary

Fields

Modifier and Type Field Description

static int BILATERAL
The Dealer/Client Bilateral Close Out Scheme

static int ISDA_92
The Dealer/Client ISDA 92 Close Out Scheme
Constructor Summary

Constructors

Constructor Description

CloseOutScheme()
Method Summary

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Modifier and Type	Field	Description
`static int`	`BILATERAL`	The Dealer/Client Bilateral Close Out Scheme
`static int`	`ISDA_92`	The Dealer/Client ISDA 92 Close Out Scheme

Class CloseOutScheme

Field Summary