Package org.drip.xva.vertex

Class AlbaneseAndersen

java.lang.Object

org.drip.xva.hypothecation.CollateralGroupVertexExposure

org.drip.xva.hypothecation.CollateralGroupVertex

org.drip.xva.vertex.AlbaneseAndersen

All Implemented Interfaces:

CollateralGroupVertexExposureComponent

public class AlbaneseAndersen
extends CollateralGroupVertex

AlbaneseAndersen holds the Albanese and Andersen (2014) Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group. The References are:

• Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955 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 = XVA Hypothecation Group Vertex Generators

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
AlbaneseAndersen(JulianDate vertexDate, double variationMarginEstimate, double tradePayment, double variationMarginPosting)	AlbaneseAndersen Constructor

Method Summary

Modifier and Type	Method	Description
double	credit()	Retrieve the Credit Exposure of the Collateral Group
double	debt()	Retrieve the Debt Exposure of the Collateral Group
double	funding()	Retrieve the Funding Exposure of the Collateral Group

Methods inherited from class org.drip.xva.hypothecation.CollateralGroupVertex

collateralized, variationMarginPosting, vertexDate

Methods inherited from class org.drip.xva.hypothecation.CollateralGroupVertexExposure

tradePayment, uncollateralized, variationMarginEstimate, VariationMarginOnly

Methods inherited from class java.lang.Object

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

Constructor Details

AlbaneseAndersen

public AlbaneseAndersen(JulianDate vertexDate,
double variationMarginEstimate,
double tradePayment,
double variationMarginPosting)
                 throws java.lang.Exception

AlbaneseAndersen Constructor

Parameters:

vertexDate - The Vertex Date

variationMarginEstimate - The Variation Margin Estimate at the Path Vertex Time Node

tradePayment - The Trade Payment at the Path Vertex Time Node

variationMarginPosting - The Variation Margin Posting at the Path Vertex Time Node

Throws:

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

Method Details

credit

public double credit()

Description copied from interface: CollateralGroupVertexExposureComponent

Retrieve the Credit Exposure of the Collateral Group

Returns:

The Credit Exposure

debt

public double debt()

Description copied from interface: CollateralGroupVertexExposureComponent

Retrieve the Debt Exposure of the Collateral Group

Returns:

The Debt Exposure

funding

public double funding()

Description copied from interface: CollateralGroupVertexExposureComponent

Retrieve the Funding Exposure of the Collateral Group

Returns:

The Funding Exposure