Package org.drip.xva.settings

Class PositionReplicationScheme

java.lang.Object

org.drip.xva.settings.PositionReplicationScheme

public class PositionReplicationScheme
extends java.lang.Object

PositionReplicationScheme holds the various Position Group Replication Schemes and their corresponding Vertex Generation Mechanisms. 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_VERTEX	Albanese Andersen Vertex Generator Scheme
static int	BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX	Burgard Kjaer Gold Plated Two Way CSA Vertex Generator Scheme
static int	BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX	Burgard Kjaer Hedge Error Dual Bond Vertex Generator Scheme
static int	BURGARD_KJAER_ONE_WAY_CSA_VERTEX	Burgard Kjaer One Way CSA Vertex Generator Scheme
static int	BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX	Burgard Kjaer Semi Replication Dual Bond Vertex Generator Scheme
static int	BURGARD_KJAER_SET_OFF_VERTEX	Burgard Kjaer One Way CSA Vertex Generator Scheme

Constructor Summary

Constructors

Constructor	Description
PositionReplicationScheme()

Method Summary

Methods inherited from class java.lang.Object

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

Field Details

ALBANESE_ANDERSEN_VERTEX

public static final int ALBANESE_ANDERSEN_VERTEX

Albanese Andersen Vertex Generator Scheme

See Also:

Constant Field Values

BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX

public static final int BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX

Burgard Kjaer Hedge Error Dual Bond Vertex Generator Scheme

See Also:

Constant Field Values

BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX

public static final int BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX

Burgard Kjaer Semi Replication Dual Bond Vertex Generator Scheme

See Also:

Constant Field Values

BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX

public static final int BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX

Burgard Kjaer Gold Plated Two Way CSA Vertex Generator Scheme

See Also:

Constant Field Values

BURGARD_KJAER_ONE_WAY_CSA_VERTEX

public static final int BURGARD_KJAER_ONE_WAY_CSA_VERTEX

Burgard Kjaer One Way CSA Vertex Generator Scheme

See Also:

Constant Field Values

BURGARD_KJAER_SET_OFF_VERTEX

public static final int BURGARD_KJAER_SET_OFF_VERTEX

Burgard Kjaer One Way CSA Vertex Generator Scheme

See Also:

Constant Field Values

Constructor Details

PositionReplicationScheme

public PositionReplicationScheme()