Package org.drip.xva.topology

Class CollateralGroup

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.topology.CollateralGroup

public class CollateralGroup
extends ObjectSpecification

CollateralGroup represents an Aggregation of Position Groups over a common Collateral Specification. 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

• Module = Portfolio Core Module
• Library = XVA Analytics Library
• Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
• Package = Collateral, Credit/Debt, Funding Topologies

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CollateralGroup(java.lang.String id, java.lang.String name, CollateralGroupSpecification collateralGroupSpecification)	CollateralGroup Constructor

Method Summary

Modifier and Type	Method	Description
boolean	addPositionGroup(PositionGroup positionGroup)	Add the specified Position Group
CollateralGroupSpecification	collateralGroupSpecification()	Retrieve the Collateral Group Specification
boolean	containsPositionGroup(java.lang.String positionGroupID)	Indicates if the Position Group identified by the specified ID
CSALabel	csaLabel()	Retrieve the CSA Label
OvernightLabel	overnightLabel()	Retrieve the Overnight Label
PositionGroup	positionGroup(java.lang.String positionGroupID)	Retrieve the Position Group identified by the specified ID
java.util.Map<java.lang.String,PositionGroup>	positionGroupMap()	Retrieve the Position Group Map

Methods inherited from class org.drip.xva.proto.ObjectSpecification

id, name

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

CollateralGroup

public CollateralGroup(java.lang.String id,
java.lang.String name,
CollateralGroupSpecification collateralGroupSpecification)
                throws java.lang.Exception

CollateralGroup Constructor

Parameters:

id - The Collateral Group ID

name - The Collateral Group Name

collateralGroupSpecification - The Collateral Group Specification

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

collateralGroupSpecification

public CollateralGroupSpecification collateralGroupSpecification()

Retrieve the Collateral Group Specification

Returns:

The Collateral Group Specification

positionGroupMap

public java.util.Map<java.lang.String,PositionGroup> positionGroupMap()

Retrieve the Position Group Map

Returns:

The Position Group Map

addPositionGroup

public boolean addPositionGroup(PositionGroup positionGroup)

Add the specified Position Group

Parameters:

positionGroup - The Position Group

Returns:

TRUE - The Position Group successfully added

containsPositionGroup

public boolean containsPositionGroup(java.lang.String positionGroupID)

Indicates if the Position Group identified by the specified ID

Parameters:

positionGroupID - The Position Group ID

Returns:

TRUE - The Position Group Exists

positionGroup

public PositionGroup positionGroup(java.lang.String positionGroupID)

Retrieve the Position Group identified by the specified ID

Parameters:

positionGroupID - The Position Group ID

Returns:

The Position Group

overnightLabel

public OvernightLabel overnightLabel()

Retrieve the Overnight Label

Returns:

The Overnight Label

csaLabel

public CSALabel csaLabel()

Retrieve the CSA Label

Returns:

The CSA Label