Package org.drip.xva.strategy

Replication Strategy Based Netting Group

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
AlbaneseAndersenFundingGroupPath	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.
AlbaneseAndersenNettingGroupPath	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.