Package org.drip.xva.strategy

Class AlbaneseAndersenFundingGroupPath

java.lang.Object
org.drip.xva.netting.FundingGroupPath
org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
public class AlbaneseAndersenFundingGroupPath
extends FundingGroupPath
AlbaneseAndersenFundingGroupPath rolls up the Path Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Groups onto a Single Funding Group in accordance with the Albanese Andersen (2014) Scheme. The References are:

  • Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation 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
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • AlbaneseAndersenFundingGroupPath

      public AlbaneseAndersenFundingGroupPath​(CreditDebtGroupPath[] creditDebtGroupPathArray, MarketPath marketPath) throws java.lang.Exception
      AlbaneseAndersenFundingGroupPath Constructor
      Parameters:
      creditDebtGroupPathArray - Array of the Credit Debt Group Trajectory Paths
      marketPath - The Market Path
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Mono

      public static final AlbaneseAndersenFundingGroupPath Mono​(CreditDebtGroupPath creditDebtGroupPath, MarketPath marketPath)
      Generate a "Mono" AlbaneseAndersenFundingGroupPath Instance
      Parameters:
      creditDebtGroupPath - The "Mono" Credit Debt Group Path
      marketPath - The Market Path
      Returns:
      The "Mono" AlbaneseAndersenFundingGroupPath Instance

    • fundingValueAdjustment

      public double fundingValueAdjustment()
      Description copied from class: FundingGroupPath
      Compute Path Funding Value Adjustment
      Specified by:
      fundingValueAdjustment in class FundingGroupPath
      Returns:
      The Path Funding Value Adjustment

    • fundingDebtAdjustment

      public double fundingDebtAdjustment()
      Description copied from class: FundingGroupPath
      Compute Path Funding Debt Adjustment
      Specified by:
      fundingDebtAdjustment in class FundingGroupPath
      Returns:
      The Path Funding Debt Adjustment

    • fundingCostAdjustment

      public double fundingCostAdjustment()
      Description copied from class: FundingGroupPath
      Compute Path Funding Cost Adjustment
      Specified by:
      fundingCostAdjustment in class FundingGroupPath
      Returns:
      The Path Funding Cost Adjustment

    • fundingBenefitAdjustment

      public double fundingBenefitAdjustment()
      Description copied from class: FundingGroupPath
      Compute Path Funding Benefit Adjustment
      Specified by:
      fundingBenefitAdjustment in class FundingGroupPath
      Returns:
      The Path Funding Benefit Adjustment

    • periodFundingValueAdjustment

      public double[] periodFundingValueAdjustment()
      Description copied from class: FundingGroupPath
      Compute Period-wise Path Funding Value Adjustment
      Specified by:
      periodFundingValueAdjustment in class FundingGroupPath
      Returns:
      The Period-wise Path Funding Value Adjustment

    • periodFundingDebtAdjustment

      public double[] periodFundingDebtAdjustment()
      Description copied from class: FundingGroupPath
      Compute Period-wise Path Funding Debt Adjustment
      Specified by:
      periodFundingDebtAdjustment in class FundingGroupPath
      Returns:
      The Period-wise Path Funding Debt Adjustment

    • periodFundingCostAdjustment

      public double[] periodFundingCostAdjustment()
      Description copied from class: FundingGroupPath
      Compute Period-wise Path Funding Cost Adjustment
      Specified by:
      periodFundingCostAdjustment in class FundingGroupPath
      Returns:
      The Period-wise Path Funding Cost Adjustment

    • periodFundingBenefitAdjustment

      public double[] periodFundingBenefitAdjustment()
      Description copied from class: FundingGroupPath
      Compute Period-wise Path Funding Benefit Adjustment
      Specified by:
      periodFundingBenefitAdjustment in class FundingGroupPath
      Returns:
      The Period-wise Path Funding Benefit Adjustment