AlbaneseAndersenFundingGroupPath.java
package org.drip.xva.strategy;
/*
* -*- 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>AlbaneseAndersenFundingGroupPath</i> rolls up the Path Realizations of the Sequence in a Single Path
* Projection Run over Multiple Collateral Groups onto a Single Funding Group in accordance with the Albanese
* Andersen (2014) Scheme. The References are:
*
* <br><br>
* <ul>
* <li>
* Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
* Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
* <b>eSSRN</b>
* </li>
* <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>
* 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/strategy/README.md">Replication Strategy Based Netting Group</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class AlbaneseAndersenFundingGroupPath extends org.drip.xva.netting.FundingGroupPath
{
/**
* Generate a "Mono" AlbaneseAndersenFundingGroupPath Instance
*
* @param creditDebtGroupPath The "Mono" Credit Debt Group Path
* @param marketPath The Market Path
*
* @return The "Mono" AlbaneseAndersenFundingGroupPath Instance
*/
public static final AlbaneseAndersenFundingGroupPath Mono (
final org.drip.xva.netting.CreditDebtGroupPath creditDebtGroupPath,
final org.drip.exposure.universe.MarketPath marketPath)
{
try
{
return new org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath (
new org.drip.xva.netting.CreditDebtGroupPath[]
{
creditDebtGroupPath
},
marketPath
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* AlbaneseAndersenFundingGroupPath Constructor
*
* @param creditDebtGroupPathArray Array of the Credit Debt Group Trajectory Paths
* @param marketPath The Market Path
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public AlbaneseAndersenFundingGroupPath (
final org.drip.xva.netting.CreditDebtGroupPath[] creditDebtGroupPathArray,
final org.drip.exposure.universe.MarketPath marketPath)
throws java.lang.Exception
{
super (
creditDebtGroupPathArray,
marketPath
);
}
@Override public double fundingValueAdjustment()
{
return unilateralFundingValueAdjustment();
}
@Override public double fundingDebtAdjustment()
{
return unilateralFundingDebtAdjustment();
}
@Override public double fundingCostAdjustment()
{
return unilateralFundingValueAdjustment();
}
@Override public double fundingBenefitAdjustment()
{
return unilateralFundingDebtAdjustment();
}
@Override public double[] periodFundingValueAdjustment()
{
return periodBilateralFundingValueAdjustment();
}
@Override public double[] periodFundingDebtAdjustment()
{
return periodBilateralFundingDebtAdjustment();
}
@Override public double[] periodFundingCostAdjustment()
{
return periodUnilateralFundingValueAdjustment();
}
@Override public double[] periodFundingBenefitAdjustment()
{
return periodUnilateralFundingDebtAdjustment();
}
}