Package org.drip.xva.topology

Class PositionGroup

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.topology.PositionGroup

public class PositionGroup
extends ObjectSpecification

PositionGroup contains the Named Position Group Instance and 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
PositionGroup(java.lang.String id, java.lang.String name, PositionGroupSpecification positionGroupSpecification)	PositionGroup Constructor

Method Summary

Modifier and Type	Method	Description
PositionGroupSpecification	positionGroupSpecification()	Retrieve the Position Group Specification

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

PositionGroup

public PositionGroup(java.lang.String id,
java.lang.String name,
PositionGroupSpecification positionGroupSpecification)
              throws java.lang.Exception

PositionGroup Constructor

Parameters:

id - The Exposure Roll Up Group ID

name - The Exposure Roll Up Group Name

positionGroupSpecification - The Position Group Specification

Throws:

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

Method Details

positionGroupSpecification

public PositionGroupSpecification positionGroupSpecification()

Retrieve the Position Group Specification

Returns:

The Position Group Specification