Package org.drip.xva.strategy

Class AlbaneseAndersenNettingGroupPath

java.lang.Object
org.drip.xva.netting.CreditDebtGroupPath
org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
public class AlbaneseAndersenNettingGroupPath
extends CreditDebtGroupPath
AlbaneseAndersenNettingGroupPath rolls up the Path Realizations of the Sequence in a Single Path Projection Run over Multiple Collateral Groups onto a Single Netting 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

    • AlbaneseAndersenNettingGroupPath

      public AlbaneseAndersenNettingGroupPath​(CollateralGroupPath[] collateralGroupPathArray, MarketPath marketPath) throws java.lang.Exception
      AlbaneseAndersenNettingGroupPath Constructor
      Parameters:
      collateralGroupPathArray - Array of the Hypothecation Group Trajectory Paths
      marketPath - The Market Path
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details