Package org.drip.xva.settings

XVA Group and Path Settings
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AdjustmentDigestScheme
    AdjustmentDigestScheme contains Settings to the Schemes that generate Aggregated Valuation Adjustment Metrics.
    BrokenDateScheme
    BrokenDateScheme holds the Broken Date Interpolation Scheme to generate Intermediate Values for the Path Exposures and Collateral Balances.
    CloseOutScheme
    CloseOutScheme carries the Close Out Specification Schemes for the Simulation.
    PositionReplicationScheme
    PositionReplicationScheme holds the various Position Group Replication Schemes and their corresponding Vertex Generation Mechanisms.
    StandardizedExposureGeneratorScheme
    StandardizedExposureGeneratorScheme holds the Fields for the Generation of the Conservative Exposure Measures generated using the Standardized Basel Scheme.