Package org.drip.xva.settings

Class StandardizedExposureGeneratorScheme

java.lang.Object

org.drip.xva.settings.StandardizedExposureGeneratorScheme

public class StandardizedExposureGeneratorScheme
extends java.lang.Object

StandardizedExposureGeneratorScheme holds the Fields for the Generation of the Conservative Exposure Measures generated using the Standardized Basel Scheme. The References are:

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Re-thinking Margin Period of Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2902737 eSSRN
• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
• Anfuso, F., D. Aziz, P. Giltinan, and K Loukopoulus (2017): A Sound Modeling and Back Testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
• BCBS (2015): Margin Requirements for Non-centrally Cleared Derivatives https://www.bis.org/bcbs/publ/d317.pdf
• Pykhtin, M. (2009): Modeling Credit Exposure for Collateralized Counter-parties Journal of Credit Risk 5 (4) 3-27

• 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	BASEL_STANDARD_TIME_INTEGRAND	Basel Standard Time Integrand

Constructor Summary

Constructors

Constructor	Description
StandardizedExposureGeneratorScheme(double eadMultiplier, int timeIntegrand, SegmentCustomBuilderControl collateralizedExposureSegmentBuilderControl, SegmentCustomBuilderControl collateralizedPositiveExposureSegmentBuilderControl)	StandardizedExposureGeneratorScheme Constructor

Method Summary

Modifier and Type	Method	Description
static StandardizedExposureGeneratorScheme	Basel(double eadMultiplier)	Construct a Basel Instance of the StandardizedExposureGeneratorScheme
SegmentCustomBuilderControl	collateralizedExposureSegmentBuilderControl()	Retrieve the Collateralized Exposure Segment Builder Control
SegmentCustomBuilderControl	collateralizedPositiveExposureSegmentBuilderControl()	Retrieve the Collateralized Positive Exposure Segment Builder Control
double	eadMultiplier()	Retrieve the EAD Multiplier
int	timeIntegrand()	Retrieve the Time Integrand

Methods inherited from class java.lang.Object

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

Field Details

BASEL_STANDARD_TIME_INTEGRAND

public static final int BASEL_STANDARD_TIME_INTEGRAND

Basel Standard Time Integrand

See Also:

Constant Field Values

Constructor Details

StandardizedExposureGeneratorScheme

public StandardizedExposureGeneratorScheme(double eadMultiplier,
int timeIntegrand,
SegmentCustomBuilderControl collateralizedExposureSegmentBuilderControl,
SegmentCustomBuilderControl collateralizedPositiveExposureSegmentBuilderControl)
                                    throws java.lang.Exception

StandardizedExposureGeneratorScheme Constructor

Parameters:

eadMultiplier - The EAD Multiplier

timeIntegrand - The Time Integrand

collateralizedExposureSegmentBuilderControl - The Collateralized Segment Builder Control

collateralizedPositiveExposureSegmentBuilderControl - The Collateralized Positive Segment Builder Control

Throws:

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

Method Details

Basel

public static final StandardizedExposureGeneratorScheme Basel(double eadMultiplier)

Construct a Basel Instance of the StandardizedExposureGeneratorScheme

Parameters:

eadMultiplier - The EAD Multiplier

Returns:

The StandardizedExposureGeneratorScheme Instance

eadMultiplier

public double eadMultiplier()

Retrieve the EAD Multiplier

Returns:

The EAD Multiplier

timeIntegrand

public int timeIntegrand()

Retrieve the Time Integrand

Returns:

The Time Integrand

collateralizedExposureSegmentBuilderControl

public SegmentCustomBuilderControl collateralizedExposureSegmentBuilderControl()

Retrieve the Collateralized Exposure Segment Builder Control

Returns:

The Collateralized Exposure Segment Builder Control

collateralizedPositiveExposureSegmentBuilderControl

public SegmentCustomBuilderControl collateralizedPositiveExposureSegmentBuilderControl()

Retrieve the Collateralized Positive Exposure Segment Builder Control

Returns:

The Collateralized Positive Exposure Segment Builder Control