Package org.drip.xva.topology

Class AdiabatMarketParams

java.lang.Object
org.drip.xva.topology.AdiabatMarketParams
public class AdiabatMarketParams
extends java.lang.Object
AdiabatMarketParams contains the Market Parameters that correspond to a given 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

    • AdiabatMarketParams

      public AdiabatMarketParams​(java.util.Map<java.lang.String,​OvernightLabel> overnightLabelMap, java.util.Map<java.lang.String,​CSALabel> csaLabelMap, java.util.Map<java.lang.String,​EntityHazardLabel> dealerHazardLabelMap, java.util.Map<java.lang.String,​EntityHazardLabel> clientHazardLabelMap, java.util.Map<java.lang.String,​EntityRecoveryLabel> dealerSeniorRecoveryLabelMap, java.util.Map<java.lang.String,​EntityRecoveryLabel> clientRecoveryLabelMap, java.util.Map<java.lang.String,​EntityRecoveryLabel> dealerSubordinateRecoveryLabelMap, java.util.Map<java.lang.String,​EntityFundingLabel> dealerSeniorFundingLabelMap, java.util.Map<java.lang.String,​EntityFundingLabel> clientFundingLabelMap, java.util.Map<java.lang.String,​EntityFundingLabel> dealerSubordinateFundingLabelMap) throws java.lang.Exception
      AdiabatMarketParams Constructor
      Parameters:
      overnightLabelMap - Map of Overnight Labels
      csaLabelMap - Map of CSA Labels
      dealerHazardLabelMap - Map of Dealer Hazard Labels
      clientHazardLabelMap - Map of Client Hazard Labels
      dealerSeniorRecoveryLabelMap - Map of Dealer Senior Recovery Labels
      clientRecoveryLabelMap - Map of Client Recovery Labels
      dealerSubordinateRecoveryLabelMap - Map of Dealer Subordinate Recovery Labels
      dealerSeniorFundingLabelMap - Map of Dealer Senior Funding Labels
      clientFundingLabelMap - Map of Client Funding Labels
      dealerSubordinateFundingLabelMap - Map of Dealer Subordinate Funding Labels
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • overnightLabelMap

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

    • csaLabelMap

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

    • dealerHazardLabelMap

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

    • clientHazardLabelMap

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

    • dealerSeniorRecoveryLabelMap

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

    • clientRecoveryLabelMap

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

    • dealerSubordinateRecoveryLabelMap

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

    • dealerSeniorFundingLabelMap

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

    • clientFundingLabelMap

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

    • dealerSubordinateFundingLabelMap

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