Package org.drip.xva.topology

Class Adiabat

java.lang.Object
org.drip.xva.proto.ObjectSpecification
org.drip.xva.topology.Adiabat
public class Adiabat
extends ObjectSpecification
Adiabat represents the Directed Graph of all the Encompassing Funding Groups inside of a Closed System (i.e., Adiabat). The References are:

  • Albanese, C., L. Andersen, and, S. Iabichino (2015): The FVA Puzzle: Accounting, Risk Management, and Collateral Trading https://papers.ssrn.com/sol3/paper.cfm?abstract_id_2517301 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

    • Adiabat

      public Adiabat​(java.lang.String id, java.lang.String name) throws java.lang.Exception
      Adiabat Constructor
      Parameters:
      id - BookGraph ID
      name - BookGraph Name
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • fundingGroupMap

      public java.util.Map<java.lang.String,​FundingGroup> fundingGroupMap()
      Retrieve the Funding Group Map
      Returns:
      The Funding Group Map

    • addFundingGroup

      public boolean addFundingGroup​(FundingGroup fundingGroup)
      Add the specified Funding Group
      Parameters:
      fundingGroup - The Funding Group
      Returns:
      TRUE - The Funding Group successfully set

    • containsFundingGroup

      public boolean containsFundingGroup​(java.lang.String fundingGroupID)
      Indicate if the Funding Group identified by the ID exists
      Parameters:
      fundingGroupID - The Funding Group ID
      Returns:
      TRUE - The Funding Group Exists

    • fundingGroup

      public FundingGroup fundingGroup​(java.lang.String fundingGroupID)
      Retrieve the Funding Group identified by the ID
      Parameters:
      fundingGroupID - The Funding Group ID
      Returns:
      TRUE - The Funding Group

    • overnightLabelMap

      public java.util.Map<java.lang.String,​OvernightLabel> overnightLabelMap()
      Retrieve the Overnight Label Map
      Returns:
      The Overnight Label Map

    • csaLabelMap

      public java.util.Map<java.lang.String,​CSALabel> csaLabelMap()
      Retrieve the CSA Label Map
      Returns:
      The CSA Label Map

    • dealerHazardLabelMap

      public java.util.Map<java.lang.String,​EntityHazardLabel> dealerHazardLabelMap()
      Retrieve the Dealer Hazard Label Map
      Returns:
      The Dealer Hazard Label Map

    • clientHazardLabelMap

      public java.util.Map<java.lang.String,​EntityHazardLabel> clientHazardLabelMap()
      Retrieve the Client Hazard Label Map
      Returns:
      The Client Hazard Label Map

    • dealerSeniorRecoveryLabelMap

      public java.util.Map<java.lang.String,​EntityRecoveryLabel> dealerSeniorRecoveryLabelMap()
      Retrieve the Dealer Senior Recovery Label Map
      Returns:
      The Dealer Senior Recovery Label Map

    • clientRecoveryLabelMap

      public java.util.Map<java.lang.String,​EntityRecoveryLabel> clientRecoveryLabelMap()
      Retrieve the Client Recovery Label Map
      Returns:
      The Client Recovery Label Map

    • dealerSubordinateRecoveryLabelMap

      public java.util.Map<java.lang.String,​EntityRecoveryLabel> dealerSubordinateRecoveryLabelMap()
      Retrieve the Dealer Subordinate Recovery Label Map
      Returns:
      The Dealer Subordinate Recovery Label Map

    • dealerSeniorFundingLabelMap

      public java.util.Map<java.lang.String,​EntityFundingLabel> dealerSeniorFundingLabelMap()
      Retrieve the Dealer Senior Funding Label Map
      Returns:
      The Dealer Senior Funding Label Map

    • clientFundingLabelMap

      public java.util.Map<java.lang.String,​EntityFundingLabel> clientFundingLabelMap()
      Retrieve the Client Funding Label Map
      Returns:
      The Client Funding Label Map

    • dealerSubordinateFundingLabelMap

      public java.util.Map<java.lang.String,​EntityFundingLabel> dealerSubordinateFundingLabelMap()
      Retrieve the Dealer Subordinate Funding Label Map
      Returns:
      The Dealer Subordinate Funding Label Map

    • marketParams

      public AdiabatMarketParams marketParams()
      Generate the Adiabat Dependent Market Parameters
      Returns:
      The Adiabat Dependent Market Parameters