ExposureAdjustmentDigest.java
package org.drip.xva.gross;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>ExposureAdjustmentDigest</i> holds the "thin" Statistics of the Aggregations across Multiple Path
* Projection Runs along the Granularity of a Counter Party Group (i.e., across multiple Funding and
* Credit/Debt Netting groups). The References are:
*
* <br><br>
* <ul>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
* Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </li>
* <li>
* Li, B., and Y. Tang (2007): <i>Quantitative Analysis, Derivatives Modeling, and Trading
* Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market</i>
* <b>World Scientific Publishing</b> Singapore
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
* <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/README.md">Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/gross/README.md">XVA Gross Adiabat Exposure Aggregation</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class ExposureAdjustmentDigest
{
private org.drip.measure.statistics.UnivariateDiscreteThin _cvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _dvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _fbaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _fcaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _fdaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _fvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _ucvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _sfvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _cvaclThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _ftdcvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _ucolvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _totalvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin _ftdcolvaThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_collateralizedExposureThinStatistics = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_uncollateralizedExposureThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_collateralizedExposureThinStatisticsPV = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_uncollateralizedExposurePVThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_collateralizedPositiveExposureThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_collateralizedNegativeExposureThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_uncollateralizedPositiveExposureThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_uncollateralizedNegativeExposureThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_collateralizedPositiveExposurePVThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_collateralizedNegativeExposurePVThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_uncollateralizedPositiveExposurePVThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[]
_uncollateralizedNegativeExposurePVThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[] _fundingExposureThinStatisticsArray = null;
private org.drip.measure.statistics.UnivariateDiscreteThin[] _fundingExposurePVThinStatisticsArray = null;
/**
* ExposureAdjustmentDigest Constructor
*
* @param ucolva The Array of Unilateral Collateral VA
* @param ftdcolva The Array of Bilateral Collateral VA
* @param ucva The Array of UCVA
* @param ftdcva The Array of FTD CVA
* @param cva The Array of CVA
* @param cvacl The Array of CVA Contra-Liabilities
* @param dva The Array of DVA
* @param fva The Array of FVA
* @param fda The Array of FDA
* @param fca The Array of FCA
* @param fba The Array of FBA
* @param sfva The Array of SFVA
* @param totalVA The Array of Total VA
* @param collateralizedExposure Double Array of Collateralized Exposure
* @param collateralizedExposurePV Double Array of Collateralized Exposure PV
* @param collateralizedPositiveExposure Double Array of Collateralized Positive Exposure
* @param collateralizedPositiveExposurePV Double Array of Collateralized Positive Exposure PV
* @param collateralizedNegativeExposure Double Array of Collateralized Negative Exposure
* @param collateralizedNegativeExposurePV Double Array of Collateralized Negative Exposure PV
* @param uncollateralizedExposure Double Array of Uncollateralized Exposure
* @param uncollateralizedExposurePV Double Array of Uncollateralized Exposure PV
* @param uncollateralizedPositiveExposure Double Array of Uncollateralized Positive Exposure
* @param uncollateralizedPositiveExposurePV Double Array of Uncollateralized Positive Exposure PV
* @param uncollateralizedNegativeExposure Double Array of Uncollateralized Negative Exposure
* @param uncollateralizedNegativeExposurePV Double Array of Uncollateralized Negative Exposure PV
* @param fundingExposure Double Array of Funding Exposure
* @param fundingExposurePV Double Array of Funding Exposure PV
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ExposureAdjustmentDigest (
final double[] ucolva,
final double[] ftdcolva,
final double[] ucva,
final double[] ftdcva,
final double[] cva,
final double[] cvacl,
final double[] dva,
final double[] fva,
final double[] fda,
final double[] fca,
final double[] fba,
final double[] sfva,
final double[] totalVA,
final double[][] collateralizedExposure,
final double[][] collateralizedExposurePV,
final double[][] collateralizedPositiveExposure,
final double[][] collateralizedPositiveExposurePV,
final double[][] collateralizedNegativeExposure,
final double[][] collateralizedNegativeExposurePV,
final double[][] uncollateralizedExposure,
final double[][] uncollateralizedExposurePV,
final double[][] uncollateralizedPositiveExposure,
final double[][] uncollateralizedPositiveExposurePV,
final double[][] uncollateralizedNegativeExposure,
final double[][] uncollateralizedNegativeExposurePV,
final double[][] fundingExposure,
final double[][] fundingExposurePV)
throws java.lang.Exception
{
if (null == ucolva ||
null == ftdcolva ||
null == ucva ||
null == ftdcva ||
null == cva ||
null == cvacl ||
null == dva ||
null == fva ||
null == fca ||
null == fba ||
null == sfva ||
null == totalVA ||
null == collateralizedExposure ||
null == collateralizedExposurePV ||
null == collateralizedPositiveExposure ||
null == collateralizedPositiveExposurePV ||
null == collateralizedNegativeExposure ||
null == collateralizedNegativeExposurePV ||
null == uncollateralizedExposure ||
null == uncollateralizedExposurePV ||
null == uncollateralizedPositiveExposure ||
null == uncollateralizedPositiveExposurePV ||
null == uncollateralizedNegativeExposure ||
null == uncollateralizedNegativeExposurePV ||
null == fundingExposure ||
null == fundingExposurePV)
{
throw new java.lang.Exception ("ExposureAdjustmentDigest Constructor => Invalid Inputs");
}
_ucolvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (ucolva);
_ftdcolvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (ftdcolva);
_ucvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (ucva);
_ftdcvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (ftdcva);
_cvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (cva);
_cvaclThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (cvacl);
_dvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (dva);
_fvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (fva);
_fdaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (fda);
_fcaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (fca);
_fbaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (fba);
_sfvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (sfva);
_totalvaThinStatistics = new org.drip.measure.statistics.UnivariateDiscreteThin (totalVA);
int vertexCount = collateralizedExposure.length;
_collateralizedExposureThinStatistics = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_uncollateralizedExposureThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_collateralizedExposureThinStatisticsPV = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_uncollateralizedExposurePVThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_collateralizedPositiveExposureThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_collateralizedPositiveExposurePVThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_collateralizedNegativeExposureThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_collateralizedNegativeExposurePVThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_uncollateralizedPositiveExposureThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_uncollateralizedPositiveExposurePVThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_uncollateralizedNegativeExposureThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_uncollateralizedNegativeExposurePVThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_fundingExposureThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
_fundingExposurePVThinStatisticsArray = new
org.drip.measure.statistics.UnivariateDiscreteThin[vertexCount];
if (0 == vertexCount ||
vertexCount != collateralizedExposurePV.length ||
vertexCount != collateralizedPositiveExposure.length ||
vertexCount != collateralizedPositiveExposurePV.length ||
vertexCount != collateralizedNegativeExposure.length ||
vertexCount != collateralizedNegativeExposurePV.length ||
vertexCount != uncollateralizedExposure.length ||
vertexCount != uncollateralizedExposurePV.length ||
vertexCount != uncollateralizedPositiveExposure.length ||
vertexCount != collateralizedPositiveExposurePV.length ||
vertexCount != collateralizedNegativeExposurePV.length ||
vertexCount != collateralizedNegativeExposurePV.length ||
vertexCount != fundingExposure.length ||
vertexCount != fundingExposurePV.length)
{
throw new java.lang.Exception ("ExposureAdjustmentDigest Constructor => Invalid Inputs");
}
for (int i = 0 ; i < vertexCount; ++i)
{
_collateralizedExposureThinStatistics[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (collateralizedExposure[i]);
_collateralizedExposureThinStatisticsPV[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (collateralizedExposurePV[i]);
_collateralizedPositiveExposureThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (collateralizedPositiveExposure[i]);
_collateralizedPositiveExposurePVThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (collateralizedPositiveExposurePV[i]);
_collateralizedNegativeExposureThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (collateralizedNegativeExposure[i]);
_collateralizedNegativeExposurePVThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (collateralizedNegativeExposurePV[i]);
_uncollateralizedExposureThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (uncollateralizedExposure[i]);
_uncollateralizedExposurePVThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (uncollateralizedExposurePV[i]);
_uncollateralizedPositiveExposureThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (uncollateralizedPositiveExposure[i]);
_uncollateralizedPositiveExposurePVThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (uncollateralizedPositiveExposurePV[i]);
_uncollateralizedNegativeExposureThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (uncollateralizedNegativeExposure[i]);
_uncollateralizedNegativeExposurePVThinStatisticsArray[i] = new
org.drip.measure.statistics.UnivariateDiscreteThin (uncollateralizedNegativeExposurePV[i]);
}
}
/**
* Retrieve the Univariate Thin Statistics for the Collateralized Exposure
*
* @return Univariate Thin Statistics for the Collateralized Exposure
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] collateralizedExposure()
{
return _collateralizedExposureThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for the Collateralized Exposure PV
*
* @return Univariate Thin Statistics for the Collateralized Exposure PV
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] collateralizedExposurePV()
{
return _collateralizedExposureThinStatisticsPV;
}
/**
* Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure
*
* @return Univariate Thin Statistics for the Collateralized Positive Exposure
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] collateralizedPositiveExposure()
{
return _collateralizedPositiveExposureThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure PV
*
* @return Univariate Thin Statistics for the Collateralized Positive Exposure PV
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] collateralizedPositiveExposurePV()
{
return _collateralizedPositiveExposurePVThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure
*
* @return Univariate Thin Statistics for the Collateralized Negative Exposure
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] collateralizedNegativeExposure()
{
return _collateralizedNegativeExposureThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure PV
*
* @return Univariate Thin Statistics for the Collateralized Negative Exposure PV
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] collateralizedNegativeExposurePV()
{
return _collateralizedNegativeExposurePVThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Uncollateralized Exposure
*
* @return Univariate Thin Statistics for the Uncollateralized Exposure
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] uncollateralizedExposure()
{
return _uncollateralizedExposureThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Uncollateralized Exposure PV
*
* @return Univariate Thin Statistics for the Uncollateralized Exposure PV
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] uncollateralizedExposurePV()
{
return _uncollateralizedExposurePVThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Uncollateralized Positive Exposure
*
* @return Univariate Thin Statistics for the Uncollateralized Positive Exposure
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] uncollateralizedPositiveExposure()
{
return _uncollateralizedPositiveExposureThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Uncollateralized Positive Exposure PV
*
* @return Univariate Thin Statistics for the Uncollateralized Positive Exposure PV
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] uncollateralizedPositiveExposurePV()
{
return _uncollateralizedPositiveExposurePVThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Uncollateralized Negative Exposure
*
* @return Univariate Thin Statistics for the Uncollateralized Negative Exposure
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] uncollateralizedNegativeExposure()
{
return _uncollateralizedNegativeExposureThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Uncollateralized Negative Exposure PV
*
* @return Univariate Thin Statistics for the Uncollateralized Negative Exposure PV
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] uncollateralizedNegativeExposurePV()
{
return _uncollateralizedNegativeExposurePVThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Funding Exposure
*
* @return Univariate Thin Statistics for the Funding Exposure
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] fundingExposure()
{
return _fundingExposureThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for the Funding Exposure PV
*
* @return Univariate Thin Statistics for the Funding Exposure PV
*/
public org.drip.measure.statistics.UnivariateDiscreteThin[] fundingExposurePV()
{
return _fundingExposurePVThinStatisticsArray;
}
/**
* Retrieve the Univariate Thin Statistics for Unilateral Collateral VA
*
* @return Univariate Thin Statistics for Unilateral Collateral VA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin ucolva()
{
return _ucolvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for Bilateral Collateral VA
*
* @return Univariate Thin Statistics for Bilateral Collateral VA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin ftdcolva()
{
return _ftdcolvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for UCVA
*
* @return Univariate Thin Statistics for UCVA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin ucva()
{
return _ucvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for FTD CVA
*
* @return Univariate Thin Statistics for FTD CVA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin ftdcva()
{
return _ftdcvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for CVA
*
* @return Univariate Thin Statistics for CVA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin cva()
{
return _cvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for CVA Contra-Liabilities
*
* @return Univariate Thin Statistics for CVA Contra-Liabilities
*/
public org.drip.measure.statistics.UnivariateDiscreteThin cvacl()
{
return _cvaclThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for DVA
*
* @return Univariate Thin Statistics for DVA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin dva()
{
return _dvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for FVA
*
* @return Univariate Thin Statistics for FVA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin fva()
{
return _fvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for FDA
*
* @return Univariate Thin Statistics for FDA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin fda()
{
return _fdaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for DVA2
*
* @return Univariate Thin Statistics for DVA2
*/
public org.drip.measure.statistics.UnivariateDiscreteThin dva2()
{
return _fdaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for FCA
*
* @return Univariate Thin Statistics for FCA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin fca()
{
return _fcaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for FBA
*
* @return Univariate Thin Statistics for FBA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin fba()
{
return _fbaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for SFVA
*
* @return Univariate Thin Statistics for SFVA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin sfva()
{
return _sfvaThinStatistics;
}
/**
* Retrieve the Univariate Thin Statistics for Total VA
*
* @return Univariate Thin Statistics for Total VA
*/
public org.drip.measure.statistics.UnivariateDiscreteThin totalVA()
{
return _totalvaThinStatistics;
}
}