Package org.drip.xva.vertex

Class BurgardKjaerBuilder

java.lang.Object
org.drip.xva.vertex.BurgardKjaerBuilder
public class BurgardKjaerBuilder
extends java.lang.Object
BurgardKjaerBuilder contains the Builders that construct the Burgard Kjaer Vertex using a Variant of 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

    • BurgardKjaerBuilder

      public BurgardKjaerBuilder()

  • Method Details

    • Initial

      public static final BurgardKjaer Initial​(JulianDate anchorDate, double forward, MarketVertex marketVertex, CloseOut closeOutScheme)
      Construct the Initial Dynamic Dealer Portfolio
      Parameters:
      anchorDate - The Anchor Date
      forward - The Unrealized Forward Exposure
      marketVertex - The Market Vertex
      closeOutScheme - The Generic Close Out Instance
      Returns:
      The Burgard Kjaer Dealer Portfolio Vertex

    • DealerPortfolioBuilder

      public static final BurgardKjaer DealerPortfolioBuilder​(JulianDate anchorDate, CollateralGroupVertexExposure collateralGroupVertexExposure, MarketEdge marketEdge, CollateralGroupVertexCloseOut collateralGroupVertexCloseOut, BurgardKjaerExposure burgardKjaerVertexExposure)
      Construct a Path-wise Dynamic Dealer Portfolio
      Parameters:
      anchorDate - The Anchor Date
      collateralGroupVertexExposure - The Raw Collateral Group Vertex Exposure
      marketEdge - The Market Edge
      collateralGroupVertexCloseOut - The Collateral Group Vertex Close Out
      burgardKjaerVertexExposure - The Collateral Group Vertex Exposure Decomposition
      Returns:
      The Burgard Kjaer Dealer Portfolio Vertex

    • HedgeErrorDualBond

      public static final BurgardKjaer HedgeErrorDualBond​(JulianDate anchorDate, double exposure, double realizedCashFlow, double collateralBalance, double hedgeError, MarketEdge marketEdge, CloseOut closeOutScheme)
      Construct a Standard Instance of BurgardKjaerVertex using the specified Hedge Error with Two Dealer Bonds
      Parameters:
      anchorDate - The Vertex Date Anchor
      exposure - The Exposure at the Path Vertex Time Node
      realizedCashFlow - The Default Window Realized Cash-flow at the Path Vertex Time Node
      collateralBalance - The Collateral Balance at the Path Vertex Time Node
      hedgeError - The Hedge Error
      marketEdge - The Market Edge
      closeOutScheme - The Generic Close-Out Evaluator Instance
      Returns:
      The Standard Instance of BurgardKjaerVertex using the specified Hedge Error with Two Dealer Bonds

    • SemiReplicationDualBond

      public static final BurgardKjaer SemiReplicationDualBond​(JulianDate anchorDate, double exposure, double realizedCashFlow, double collateralBalance, MarketEdge marketEdge, CloseOut closeOutScheme)
      Construct a Standard Instance of BurgardKjaerVertex using semi-replication with no Short-fall at own Default using Two Bonds
      Parameters:
      anchorDate - The Vertex Date Anchor
      exposure - The Exposure at the Path Vertex Time Node
      realizedCashFlow - The Default Window Realized Cash-flow at the Path Vertex Time Node
      collateralBalance - The Collateral Balance at the Path Vertex Time Node
      marketEdge - The Market Edge
      closeOutScheme - The Generic Close-Out Evaluator Instance
      Returns:
      The Standard Instance of BurgardKjaerVertex using semi-replication with no Short-fall at own Default using Two Bonds

    • GoldPlatedTwoWayCSA

      public static final BurgardKjaer GoldPlatedTwoWayCSA​(JulianDate anchorDate, double exposure, double realizedCashFlow, MarketEdge marketEdge, CloseOut closeOutScheme)
      Construct a Standard Instance of BurgardKjaerVertex using a Fully Collateralized Strategy, i.e., also referred to as the 2 Way Gold Plated CSA
      Parameters:
      anchorDate - The Vertex Date Anchor
      exposure - The Exposure at the Path Vertex Time Node
      realizedCashFlow - The Default Window Realized Cash-flow at the Path Vertex Time Node
      marketEdge - The Market Edge
      closeOutScheme - The Generic Close-Out Evaluator Instance
      Returns:
      The Standard Instance of BurgardKjaerVertex using using a Fully Collateralized Strategy

    • OneWayCSA

      public static final BurgardKjaer OneWayCSA​(JulianDate anchorDate, double exposure, double realizedCashFlow, MarketEdge marketEdge, CloseOut closeOutScheme)
      Construct a Standard Instance of BurgardKjaerVertex using One Way CSA
      Parameters:
      anchorDate - The Vertex Date Anchor
      exposure - The Exposure at the Path Vertex Time Node
      realizedCashFlow - The Default Window Realized Cash-flow at the Path Vertex Time Node
      marketEdge - The Market Edge
      closeOutScheme - The Generic Close-Out Evaluator Instance
      Returns:
      The Standard Instance of BurgardKjaerVertex using One Way CSA

    • SetOff

      public static final BurgardKjaer SetOff​(JulianDate anchorDate, double exposure, double realizedCashFlow, double collateralBalance, MarketEdge marketEdge)
      Construct a Standard Instance of BurgardKjaerVertex using the "Set Off" Legal Agreement Scheme
      Parameters:
      anchorDate - The Vertex Date Anchor
      exposure - The Exposure at the Path Vertex Time Node
      realizedCashFlow - The Default Window Realized Cash-flow at the Path Vertex Time Node
      collateralBalance - The Collateral Balance at the Path Vertex Time Node
      marketEdge - The Market Edge
      Returns:
      The Standard Instance of BurgardKjaerVertex using the "Set Off" Legal Agreement Scheme