CollateralGroupSpecification.java
- package org.drip.xva.proto;
- /*
- * -*- 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>CollateralGroupSpecification</i> contains the Specifications of a Collateral Group. 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/proto/README.md">Collateral, Counter Party, Netting Groups</a></li>
- * </ul>
- * <br><br>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class CollateralGroupSpecification extends org.drip.xva.proto.ObjectSpecification
- {
- private org.drip.state.identifier.CSALabel _csaLabel = null;
- private org.drip.state.identifier.OvernightLabel _overnightLabel = null;
- /**
- * CollateralGroupSpecification Constructor
- *
- * @param id The Collateral Group ID
- * @param name The Collateral Group Name
- * @param overnightLabel The Overnight Latent State Label
- * @param csaLabel The CSA Latent State Label
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public CollateralGroupSpecification (
- final java.lang.String id,
- final java.lang.String name,
- final org.drip.state.identifier.OvernightLabel overnightLabel,
- final org.drip.state.identifier.CSALabel csaLabel)
- throws java.lang.Exception
- {
- super (
- id,
- name
- );
- if (null == (_overnightLabel = overnightLabel) ||
- null == (_csaLabel = csaLabel))
- {
- throw new java.lang.Exception ("CollateralGroupSpecification Constructor => Invalid Inputs");
- }
- }
- /**
- * Retrieve the Overnight Label
- *
- * @return The Overnight Label
- */
- public org.drip.state.identifier.OvernightLabel overnightLabel()
- {
- return _overnightLabel;
- }
- /**
- * Retrieve the CSA Label
- *
- * @return The CSA Label
- */
- public org.drip.state.identifier.CSALabel csaLabel()
- {
- return _csaLabel;
- }
- }