Package org.drip.xva.topology

Class FundingGroup

java.lang.Object
org.drip.xva.proto.ObjectSpecification
org.drip.xva.topology.FundingGroup
public class FundingGroup
extends ObjectSpecification
FundingGroup represents an Aggregation of Credit Debt Groups with a common Funding Group 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




Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • FundingGroup

      public FundingGroup​(java.lang.String id, java.lang.String name, FundingGroupSpecification fundingGroupSpecification) throws java.lang.Exception
      FundingGroup Constructor
      Parameters:
      id - FundingGroup ID
      name - FundingGroup Name
      fundingGroupSpecification - Funding Group Specification
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • fundingGroupSpecification

      public FundingGroupSpecification fundingGroupSpecification()
      Retrieve the Funding Group Specification
      Returns:
      The Funding Group Specification

    • creditDebtGroupMap

      public java.util.Map<java.lang.String,​CreditDebtGroup> creditDebtGroupMap()
      Retrieve the Credit Debt Group Map
      Returns:
      The Credit Debt Group Map

    • addCreditDebtGroup

      public boolean addCreditDebtGroup​(CreditDebtGroup creditDebtGroup)
      Add the specified CreditDebtGroup Instance
      Parameters:
      creditDebtGroup - The CreditDebtGroup Instance
      Returns:
      TRUE - The CreditDebtGroup Instance successfully added

    • containsCreditDebtGroup

      public boolean containsCreditDebtGroup​(java.lang.String creditDebtGroupID)
      Indicate the specified CreditDebtGroup ID is available
      Parameters:
      creditDebtGroupID - The CreditDebtGroup ID
      Returns:
      TRUE - The CreditDebtGroup is available

    • creditDebtGroup

      public CreditDebtGroup creditDebtGroup​(java.lang.String creditDebtGroupID)
      Retrieve the CreditDebtGroup
      Parameters:
      creditDebtGroupID - The CreditDebtGroup ID
      Returns:
      The CreditDebtGroup Instance

    • dealerSeniorFundingLabel

      public EntityFundingLabel dealerSeniorFundingLabel()
      Retrieve the Dealer Senior Funding Label
      Returns:
      The Dealer Senior Funding Label

    • clientFundingLabel

      public EntityFundingLabel clientFundingLabel()
      Retrieve the Client Funding Label
      Returns:
      The Client Funding Label

    • dealerSubordinateFundingLabel

      public EntityFundingLabel dealerSubordinateFundingLabel()
      Retrieve the Dealer Subordinate Funding Label
      Returns:
      The Dealer Subordinate Funding 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

    • 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