Package org.drip.xva.vertex

Class BurgardKjaer

java.lang.Object
org.drip.xva.hypothecation.CollateralGroupVertexExposure
org.drip.xva.hypothecation.CollateralGroupVertex
org.drip.xva.vertex.BurgardKjaer
All Implemented Interfaces:
CollateralGroupVertexExposureComponent
public class BurgardKjaer
extends CollateralGroupVertex
BurgardKjaer holds the Close Out Based Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group using the Generalized Burgard Kjaer (2013) Scheme. The References are:

  • 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
  • Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • BurgardKjaer

      public BurgardKjaer​(JulianDate anchorDate, double forward, double accrued, BurgardKjaerExposure burgardKjaerVertexExposure, CollateralGroupVertexCloseOut collateralGroupCloseOut, ReplicationPortfolioVertexDealer dealerReplicationPortfolioVertex) throws java.lang.Exception
      BurgardKjaer Constructor
      Parameters:
      anchorDate - The Vertex Date Anchor
      forward - The Unrealized Forward Exposure
      accrued - The Accrued Exposure
      burgardKjaerVertexExposure - The Collateral Group Vertex
      collateralGroupCloseOut - The Collateral Group Vertex Close Out Instance
      dealerReplicationPortfolioVertex - The Dealer Replication Portfolio Vertex Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • dealerDefaultCloseOut

      public double dealerDefaultCloseOut()
      Retrieve the Close Out on Dealer Default
      Returns:
      Close Out on Dealer Default

    • clientDefaultCloseOut

      public double clientDefaultCloseOut()
      Retrieve the Close Out on Client Default
      Returns:
      Close Out on Client Default

    • 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

    • hedgeError

      public double hedgeError()
      Retrieve the Hedge Error
      Returns:
      The Hedge Error

    • dealerReplicationPortfolio

      public ReplicationPortfolioVertexDealer dealerReplicationPortfolio()
      Retrieve the Dealer Replication Potrfolio Instance
      Returns:
      The Dealer Replication Potrfolio Instance