Package org.drip.xva.topology

Class CreditDebtGroup

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.topology.CreditDebtGroup

public class CreditDebtGroup
extends ObjectSpecification

CreditDebtGroup represents an Aggregation of Collateral Groups with a common Credit Debt 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
CreditDebtGroup(java.lang.String id, java.lang.String name, CreditDebtGroupSpecification creditDebtGroupSpecification)	CreditDebtGroup Constructor

Method Summary

Modifier and Type	Method	Description
boolean	addCollateralGroup(CollateralGroup collateralGroup)	Add the specified Collateral Group
EntityHazardLabel	clientPartyHazardLabel()	Retrieve the Client Hazard Label
EntityRecoveryLabel	clientRecoveryLabel()	Retrieve the Client Senior Recovery Label
CollateralGroup	collateralGroup(java.lang.String collateralGroupID)	Retrieve the Collateral Group identified by the specified ID
java.util.Map<java.lang.String,CollateralGroup>	collateralGroupMap()	Retrieve the Collateral Group Map
boolean	containsCollateralGroup(java.lang.String collateralGroupID)	Indicates if the Collateral Group identified by the specified ID
CreditDebtGroupSpecification	creditDebtGroupSpecification()	Retrieve the Credit Debt Group Specification
java.util.Map<java.lang.String,CSALabel>	csaLabelMap()	Retrieve the CSA Label Map
EntityHazardLabel	dealerHazardLabel()	Retrieve the Dealer Hazard Label
EntityRecoveryLabel	dealerSeniorRecoveryLabel()	Retrieve the Dealer Senior Recovery Label
EntityRecoveryLabel	dealerSubordinateRecoveryLabel()	Retrieve the Dealer Subordinate Recovery Label
java.util.Map<java.lang.String,OvernightLabel>	overnightLabelMap()	Retrieve the Overnight Label 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

CreditDebtGroup

public CreditDebtGroup(java.lang.String id,
java.lang.String name,
CreditDebtGroupSpecification creditDebtGroupSpecification)
                throws java.lang.Exception

CreditDebtGroup Constructor

Parameters:

id - CreditDebtGroup ID

name - CreditDebtGroup Name

creditDebtGroupSpecification - The CreditDebtGroup Specification

Throws:

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

Method Details

creditDebtGroupSpecification

public CreditDebtGroupSpecification creditDebtGroupSpecification()

Retrieve the Credit Debt Group Specification

Returns:

The Credit Debt Group Specification

collateralGroupMap

public java.util.Map<java.lang.String,CollateralGroup> collateralGroupMap()

Retrieve the Collateral Group Map

Returns:

The Collateral Group Map

addCollateralGroup

public boolean addCollateralGroup(CollateralGroup collateralGroup)

Add the specified Collateral Group

Parameters:

collateralGroup - The Collateral Group

Returns:

TRUE - The Collateral Group successfully added

containsCollateralGroup

public boolean containsCollateralGroup(java.lang.String collateralGroupID)

Indicates if the Collateral Group identified by the specified ID

Parameters:

collateralGroupID - The Collateral Group ID

Returns:

TRUE - The Collateral Group Exists

collateralGroup

public CollateralGroup collateralGroup(java.lang.String collateralGroupID)

Retrieve the Collateral Group identified by the specified ID

Parameters:

collateralGroupID - The Collateral Group ID

Returns:

The Collateral Group

dealerHazardLabel

public EntityHazardLabel dealerHazardLabel()

Retrieve the Dealer Hazard Label

Returns:

The Dealer Hazard Label

clientPartyHazardLabel

public EntityHazardLabel clientPartyHazardLabel()

Retrieve the Client Hazard Label

Returns:

The Client Hazard Label

dealerSeniorRecoveryLabel

public EntityRecoveryLabel dealerSeniorRecoveryLabel()

Retrieve the Dealer Senior Recovery Label

Returns:

The Dealer Senior Recovery Label

dealerSubordinateRecoveryLabel

public EntityRecoveryLabel dealerSubordinateRecoveryLabel()

Retrieve the Dealer Subordinate Recovery Label

Returns:

The Dealer Subordinate Recovery Label

clientRecoveryLabel

public EntityRecoveryLabel clientRecoveryLabel()

Retrieve the Client Senior Recovery Label

Returns:

The Client Senior Recovery Label

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