Package org.drip.xva.vertex

Class BurgardKjaerExposure

java.lang.Object
org.drip.xva.vertex.BurgardKjaerExposure
All Implemented Interfaces:
CollateralGroupVertexExposureComponent
public class BurgardKjaerExposure
extends java.lang.Object
implements CollateralGroupVertexExposureComponent
BurgardKjaerExposure holds the Credit, the Debt, and the Funding Exposures, as well as the Collateral Balances at each Re-hypothecation Collateral Group using the Burgard Kjaer (2014) 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 Summary

    Constructors
    Constructor Description
    BurgardKjaerExposure​(double credit, double debt, double funding, double collateralBalance)
    BurgardKjaerExposure 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
    static BurgardKjaerExposure Initial​(double uncollateralizedExposure, CollateralGroupVertexCloseOut collateralGroupVertexCloseOut)
    Generate an Initial Instance of Burgard Kjaer Vertex Exposure
    double variationMarginPosting()
    Retrieve the Posted Variation Margin of the Collateral Group

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BurgardKjaerExposure

      public BurgardKjaerExposure​(double credit, double debt, double funding, double collateralBalance) throws java.lang.Exception
      BurgardKjaerExposure Constructor
      Parameters:
      credit - The Credit Exposure of the Collateral Group
      debt - The Debt Exposure of the Collateral Group
      funding - The Funding Exposure of the Collateral Group
      collateralBalance - The Collateral Balance of the Collateral Group
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details