Package org.drip.xva.vertex

XVA Hypothecation Group Vertex Generators
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AlbaneseAndersen
    AlbaneseAndersen holds the Albanese and Andersen (2014) Vertex Exposures of a Projected Path of a Simulation Run of a Collateral Hypothecation Group.
    BurgardKjaer
    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.
    BurgardKjaerBuilder
    BurgardKjaerBuilder contains the Builders that construct the Burgard Kjaer Vertex using a Variant of the Generalized Burgard Kjaer (2013) Scheme.
    BurgardKjaerExposure
    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.