|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@c8178c6
aMV = [Lorg.drip.exposure.universe.MarketVertex;@3a015d42
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) REPLICATION PORTFOLIO EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Asset Price Realization ||
|| - Realization of the Zero Coupon Bank Bond Price ||
|| - Realization of the Zero Coupon Counter Party Bond Price ||
|| - Realization of the Zero Coupon Collateral Bond Price ||
|| - Derivative XVA Asset Replication Units ||
|| - Derivative XVA Value Bank Bond Replication Units ||
|| - Derivative XVA Value Counter Party Bond Replication Units ||
|| - Derivative XVA Value Cash Account Replication Units ||
|| - Derivative XVA Funding Growth ||
|| - Derivative XVA Bank Default Growth ||
|| - Derivative XVA Counter Party Default Growth ||
|| - Derivative XVA Early Termination Growth ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 1.000000 | 1.000000 | 1.057610 | 1.000000 | 1.000000 | 1.000000 | 1.000000 | -0.000000 | -0.600000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|| 0.956164 | 0.997371 | 1.047121 | 0.997779 | 0.998130 | 0.999234 | 0.998685 | -0.000000 | -0.600458 | 0.001430 | -0.002214 | -0.030332 | -0.020317 | 0.081431 ||
|| 0.915068 | 0.994875 | 1.072780 | 0.996115 | 0.996709 | 0.999193 | 0.997454 | -0.000000 | -0.601283 | 0.002825 | -0.002177 | -0.030238 | -0.020256 | 0.081248 ||
|| 0.873973 | 0.992371 | 1.067847 | 0.994788 | 0.994923 | 0.998895 | 0.996224 | -0.000000 | -0.601356 | 0.004213 | -0.001855 | -0.030261 | -0.020185 | 0.081283 ||
|| 0.832877 | 0.989805 | 1.095716 | 0.993470 | 0.994593 | 0.998280 | 0.994996 | -0.000000 | -0.601473 | 0.005633 | -0.000787 | -0.030160 | -0.020160 | 0.080812 ||
|| 0.789041 | 0.987108 | 1.086654 | 0.992363 | 0.993372 | 0.998304 | 0.993687 | -0.000000 | -0.598200 | 0.007139 | -0.001099 | -0.029920 | -0.019974 | 0.080077 ||
|| 0.747945 | 0.984675 | 1.061836 | 0.991479 | 0.992345 | 0.998039 | 0.992462 | -0.000000 | -0.597120 | 0.008513 | -0.002476 | -0.029904 | -0.019909 | 0.079831 ||
|| 0.706849 | 0.982218 | 1.044759 | 0.989867 | 0.992469 | 0.998122 | 0.991239 | -0.000000 | -0.595036 | 0.009865 | -0.001188 | -0.029770 | -0.020106 | 0.079736 ||
|| 0.665753 | 0.979820 | 1.036845 | 0.989024 | 0.992288 | 0.997400 | 0.990016 | -0.000000 | -0.590100 | 0.011206 | -0.002072 | -0.029467 | -0.020171 | 0.079244 ||
|| 0.624658 | 0.977467 | 1.045832 | 0.987780 | 0.991134 | 0.997245 | 0.988796 | -0.000000 | -0.586577 | 0.012555 | -0.003245 | -0.029611 | -0.020065 | 0.079104 ||
|| 0.580822 | 0.974955 | 1.017913 | 0.985912 | 0.990115 | 0.996361 | 0.987496 | -0.000000 | -0.585490 | 0.013962 | -0.002326 | -0.029521 | -0.020145 | 0.079118 ||
|| 0.539726 | 0.972621 | 0.983146 | 0.984443 | 0.989523 | 0.995741 | 0.986278 | -0.000000 | -0.583682 | 0.015231 | -0.001512 | -0.029380 | -0.020088 | 0.078628 ||
|| 0.498630 | 0.970312 | 0.976755 | 0.983304 | 0.987748 | 0.995568 | 0.985062 | -0.000000 | -0.581651 | 0.016491 | -0.001780 | -0.029262 | -0.019897 | 0.078225 ||
|| 0.457534 | 0.967975 | 0.984514 | 0.982199 | 0.987230 | 0.994877 | 0.983848 | -0.000000 | -0.582049 | 0.017759 | -0.001031 | -0.029303 | -0.019889 | 0.078015 ||
|| 0.416438 | 0.965661 | 0.994000 | 0.981349 | 0.984547 | 0.994106 | 0.982635 | -0.000000 | -0.580356 | 0.019037 | -0.002058 | -0.029315 | -0.019694 | 0.078029 ||
|| 0.372603 | 0.963189 | 0.965562 | 0.979677 | 0.983553 | 0.993934 | 0.981343 | -0.000000 | -0.583380 | 0.020366 | -0.001058 | -0.029098 | -0.019744 | 0.077835 ||
|| 0.331507 | 0.960903 | 0.950215 | 0.978851 | 0.982335 | 0.993346 | 0.980133 | -0.000000 | -0.581916 | 0.021588 | -0.001261 | -0.028986 | -0.019672 | 0.077548 ||
|| 0.290411 | 0.958727 | 0.920316 | 0.977788 | 0.981855 | 0.993519 | 0.978924 | -0.000000 | -0.580902 | 0.022771 | -0.002810 | -0.028960 | -0.019713 | 0.077383 ||
|| 0.249315 | 0.956475 | 0.944095 | 0.976094 | 0.978970 | 0.993341 | 0.977717 | -0.000000 | -0.579275 | 0.023982 | -0.002026 | -0.028907 | -0.019609 | 0.077624 ||
|| 0.208219 | 0.954252 | 0.925611 | 0.974653 | 0.978129 | 0.993659 | 0.976512 | -0.000000 | -0.582896 | 0.025169 | -0.002128 | -0.028758 | -0.019656 | 0.077469 ||
|| 0.164384 | 0.951840 | 0.935404 | 0.973307 | 0.977300 | 0.992919 | 0.975228 | -0.000000 | -0.580942 | 0.026451 | -0.001321 | -0.028796 | -0.019689 | 0.077438 ||
|| 0.123288 | 0.949526 | 0.968923 | 0.972034 | 0.976073 | 0.992706 | 0.974025 | -0.000000 | -0.579037 | 0.027687 | -0.000814 | -0.028602 | -0.019555 | 0.076922 ||
|| 0.082192 | 0.947282 | 0.959990 | 0.971224 | 0.974332 | 0.992156 | 0.972825 | -0.000000 | -0.578766 | 0.028911 | -0.002096 | -0.028558 | -0.019361 | 0.076575 ||
|| 0.041096 | 0.944976 | 0.984505 | 0.969892 | 0.972855 | 0.992052 | 0.971625 | -0.000000 | -0.579677 | 0.030162 | -0.001022 | -0.028450 | -0.019128 | 0.075980 ||
|| 0.000000 | 0.942743 | 1.000000 | 0.969133 | 0.970762 | 0.991779 | 0.970427 | -0.000000 | -0.580298 | 0.031430 | -0.003150 | -0.028349 | -0.018900 | 0.075598 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 91 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@42259635
aMV = [Lorg.drip.exposure.universe.MarketVertex;@425f706f
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) REPLICATION PORTFOLIO EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Asset Price Numeraire ||
|| - Bank Senior Funding Numeraire ||
|| - Counter Party Senior Funding Numeraire ||
|| - Collateral Scheme Numeraire ||
|| - Derivative XVA Asset Replication Units ||
|| - Derivative XVA Value Bank Bond Replication Units ||
|| - Derivative XVA Value Counter Party Bond Replication Units ||
|| - Derivative XVA Value Cash Account Replication Units ||
|| - Derivative XVA Cash Account ||
|| - Derivative XVA Cash Account Accumulation ||
|| - Derivative XVA Asset Cash Accumulation ||
|| - Derivative XVA Bank Cash Accumulation ||
|| - Derivative XVA Counter Party Cash Accumulation ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 1.000000 | 1.000000 | 0.913959 | 1.000000 | 1.000000 | 1.000000 | 1.000000 | -0.000000 | -0.600000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|| 0.956164 | 0.993975 | 0.921660 | 0.999093 | 0.999561 | 1.000201 | 0.998685 | -0.000000 | -0.598964 | 0.001297 | 0.001297 | 0.001211 | 0.000054 | 0.000032 ||
|| 0.915068 | 0.988372 | 0.901647 | 0.997636 | 0.997765 | 1.000367 | 0.997454 | -0.000000 | -0.594352 | 0.002482 | 0.001185 | 0.001109 | 0.000047 | 0.000028 ||
|| 0.873973 | 0.982734 | 0.932669 | 0.995993 | 0.997073 | 1.000423 | 0.996224 | -0.000000 | -0.592853 | 0.003703 | 0.001221 | 0.001146 | 0.000047 | 0.000028 ||
|| 0.832877 | 0.977108 | 0.948030 | 0.995025 | 0.995592 | 0.999231 | 0.994996 | -0.000000 | -0.588930 | 0.004940 | 0.001238 | 0.001164 | 0.000046 | 0.000028 ||
|| 0.789041 | 0.971148 | 0.951650 | 0.993039 | 0.993360 | 0.999357 | 0.993687 | -0.000000 | -0.587317 | 0.006269 | 0.001328 | 0.001244 | 0.000053 | 0.000031 ||
|| 0.747945 | 0.965596 | 0.932663 | 0.991952 | 0.990978 | 0.998983 | 0.992462 | -0.000000 | -0.587758 | 0.007484 | 0.001215 | 0.001142 | 0.000046 | 0.000027 ||
|| 0.706849 | 0.960086 | 0.921667 | 0.990225 | 0.989048 | 0.997720 | 0.991239 | -0.000000 | -0.588517 | 0.008684 | 0.001200 | 0.001127 | 0.000046 | 0.000027 ||
|| 0.665753 | 0.954567 | 0.949218 | 0.989837 | 0.988510 | 0.997578 | 0.990016 | -0.000000 | -0.587261 | 0.009916 | 0.001232 | 0.001159 | 0.000045 | 0.000027 ||
|| 0.624658 | 0.949054 | 0.957890 | 0.988892 | 0.988080 | 0.997138 | 0.988796 | -0.000000 | -0.582392 | 0.011157 | 0.001241 | 0.001168 | 0.000045 | 0.000027 ||
|| 0.580822 | 0.943214 | 0.964074 | 0.987246 | 0.986677 | 0.996389 | 0.987496 | -0.000000 | -0.577625 | 0.012491 | 0.001335 | 0.001253 | 0.000051 | 0.000031 ||
|| 0.539726 | 0.937720 | 0.985316 | 0.986342 | 0.985183 | 0.996863 | 0.986278 | -0.000000 | -0.575398 | 0.013762 | 0.001270 | 0.001199 | 0.000045 | 0.000027 ||
|| 0.498630 | 0.932231 | 0.998502 | 0.985210 | 0.984236 | 0.997020 | 0.985062 | -0.000000 | -0.573287 | 0.015046 | 0.001284 | 0.001213 | 0.000044 | 0.000027 ||
|| 0.457534 | 0.926751 | 1.012594 | 0.983492 | 0.983892 | 0.997107 | 0.983848 | -0.000000 | -0.569447 | 0.016345 | 0.001300 | 0.001229 | 0.000044 | 0.000027 ||
|| 0.416438 | 0.921307 | 0.998387 | 0.982039 | 0.983354 | 0.996158 | 0.982635 | -0.000000 | -0.564224 | 0.017626 | 0.001280 | 0.001210 | 0.000044 | 0.000026 ||
|| 0.372603 | 0.915568 | 0.990069 | 0.980968 | 0.982398 | 0.994853 | 0.981343 | -0.000000 | -0.559556 | 0.018984 | 0.001358 | 0.001279 | 0.000050 | 0.000030 ||
|| 0.331507 | 0.910209 | 0.976724 | 0.979494 | 0.980470 | 0.993912 | 0.980133 | -0.000000 | -0.556529 | 0.020234 | 0.001250 | 0.001181 | 0.000043 | 0.000026 ||
|| 0.290411 | 0.904898 | 0.983135 | 0.977890 | 0.978906 | 0.993351 | 0.978924 | -0.000000 | -0.555963 | 0.021490 | 0.001256 | 0.001187 | 0.000043 | 0.000026 ||
|| 0.249315 | 0.899595 | 0.987316 | 0.977100 | 0.978566 | 0.993241 | 0.977717 | -0.000000 | -0.553785 | 0.022749 | 0.001259 | 0.001191 | 0.000043 | 0.000026 ||
|| 0.208219 | 0.894350 | 0.967789 | 0.976127 | 0.976710 | 0.993025 | 0.976512 | -0.000000 | -0.549447 | 0.023983 | 0.001234 | 0.001166 | 0.000042 | 0.000026 ||
|| 0.164384 | 0.888779 | 0.980322 | 0.974676 | 0.975230 | 0.992795 | 0.975228 | -0.000000 | -0.548463 | 0.025318 | 0.001335 | 0.001258 | 0.000048 | 0.000029 ||
|| 0.123288 | 0.883599 | 0.980276 | 0.973800 | 0.974154 | 0.992632 | 0.974025 | -0.000000 | -0.546356 | 0.026563 | 0.001245 | 0.001178 | 0.000042 | 0.000025 ||
|| 0.082192 | 0.878423 | 0.994892 | 0.972603 | 0.973572 | 0.991725 | 0.972825 | -0.000000 | -0.543173 | 0.027823 | 0.001261 | 0.001194 | 0.000042 | 0.000025 ||
|| 0.041096 | 0.873249 | 1.019753 | 0.971524 | 0.972100 | 0.990964 | 0.971625 | -0.000000 | -0.539276 | 0.029112 | 0.001289 | 0.001222 | 0.000041 | 0.000025 ||
|| 0.000000 | 0.868103 | 1.000000 | 0.970213 | 0.971294 | 0.990797 | 0.970427 | -0.000000 | -0.537213 | 0.030375 | 0.001263 | 0.001197 | 0.000041 | 0.000025 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 0 ms
| Run Duration => 6 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@21c30603
aMV = [Lorg.drip.exposure.universe.MarketVertex;@6054fe13
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) REPLICATION PORTFOLIO EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Derivative XVA Delta ||
|| - Derivative XVA Gamma ||
|| - Derivative Gain on Bank Default ||
|| - Derivative Gain on Counter Party Default ||
|| - Derivative XVA Stochastic Growth Rate ||
|| - Derivative XVA Collateral Growth Rate ||
|| - Derivative XVA Funding Growth Rate ||
|| - Derivative XVA Value Cash Account Replication Units ||
|| - Derivative XVA Funding Growth ||
|| - Derivative XVA Bank Default Growth ||
|| - Derivative XVA Counter Party Default Growth ||
|| - Derivative XVA Early Termination Growth ||
|| - Derivative XVA Theta Asset Numeraire Down ||
|| - Derivative XVA Theta Asset Numeraire Flat ||
|| - Derivative XVA Theta Asset Numeraire Up ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 1.000000 | 1.000000 | -1.000000 | 0.000000 | -0.000000 | -0.600000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|| 0.956164 | 0.993913 | -0.998685 | 0.000000 | -0.000000 | -0.596417 | 0.027498 | 0.000000 | 0.080814 | 0.000000 | 0.030545 | 0.138830 | 0.138857 | 0.138885 ||
|| 0.915068 | 0.988250 | -0.997454 | 0.000000 | -0.000000 | -0.592380 | 0.027456 | 0.000000 | 0.080068 | 0.000000 | 0.030278 | 0.137775 | 0.137802 | 0.137830 ||
|| 0.873973 | 0.982619 | -0.996224 | 0.000000 | -0.000000 | -0.589803 | 0.027410 | 0.000000 | 0.079605 | 0.000000 | 0.029999 | 0.136987 | 0.137014 | 0.137042 ||
|| 0.832877 | 0.977018 | -0.994996 | 0.000000 | -0.000000 | -0.587613 | 0.027550 | 0.000000 | 0.078955 | 0.000000 | 0.029786 | 0.136263 | 0.136290 | 0.136318 ||
|| 0.789041 | 0.971035 | -0.993687 | 0.000000 | -0.000000 | -0.580190 | 0.028242 | 0.000000 | 0.078550 | 0.000000 | 0.029702 | 0.136467 | 0.136495 | 0.136523 ||
|| 0.747945 | 0.965437 | -0.992462 | 0.000000 | -0.000000 | -0.578706 | 0.029053 | 0.000000 | 0.077889 | 0.000000 | 0.029280 | 0.136192 | 0.136222 | 0.136251 ||
|| 0.706849 | 0.959874 | -0.991239 | 0.000000 | -0.000000 | -0.575229 | 0.028724 | 0.000000 | 0.077504 | 0.000000 | 0.029129 | 0.135328 | 0.135357 | 0.135386 ||
|| 0.665753 | 0.954325 | -0.990016 | 0.000000 | -0.000000 | -0.570735 | 0.028455 | 0.000000 | 0.077469 | 0.000000 | 0.029112 | 0.135007 | 0.135036 | 0.135064 ||
|| 0.624658 | 0.948828 | -0.988796 | 0.000000 | -0.000000 | -0.568446 | 0.027973 | 0.000000 | 0.076941 | 0.000000 | 0.028849 | 0.133735 | 0.133763 | 0.133791 ||
|| 0.580822 | 0.943005 | -0.987496 | 0.000000 | -0.000000 | -0.564095 | 0.027366 | 0.000000 | 0.076613 | 0.000000 | 0.028861 | 0.132812 | 0.132840 | 0.132867 ||
|| 0.539726 | 0.937526 | -0.986278 | 0.000000 | -0.000000 | -0.559501 | 0.028268 | 0.000000 | 0.076294 | 0.000000 | 0.028749 | 0.133284 | 0.133312 | 0.133340 ||
|| 0.498630 | 0.932072 | -0.985062 | 0.000000 | -0.000000 | -0.555364 | 0.028071 | 0.000000 | 0.076048 | 0.000000 | 0.028593 | 0.132684 | 0.132712 | 0.132740 ||
|| 0.457534 | 0.926617 | -0.983848 | 0.000000 | -0.000000 | -0.553162 | 0.028603 | 0.000000 | 0.075703 | 0.000000 | 0.028430 | 0.132707 | 0.132736 | 0.132764 ||
|| 0.416438 | 0.921188 | -0.982635 | 0.000000 | -0.000000 | -0.548458 | 0.028789 | 0.000000 | 0.075107 | 0.000000 | 0.028218 | 0.132086 | 0.132115 | 0.132144 ||
|| 0.372603 | 0.915379 | -0.981343 | -0.000000 | -0.000000 | -0.545617 | 0.030098 | 0.000000 | 0.074526 | 0.000000 | 0.027882 | 0.132475 | 0.132505 | 0.132535 ||
|| 0.331507 | 0.909955 | -0.980133 | -0.000000 | -0.000000 | -0.545074 | 0.030744 | 0.000000 | 0.073712 | 0.000000 | 0.027545 | 0.131971 | 0.132001 | 0.132032 ||
|| 0.290411 | 0.904532 | -0.978924 | -0.000000 | -0.000000 | -0.542406 | 0.031327 | 0.000000 | 0.073155 | 0.000000 | 0.027459 | 0.131910 | 0.131942 | 0.131973 ||
|| 0.249315 | 0.899128 | -0.977717 | -0.000000 | -0.000000 | -0.541387 | 0.031349 | 0.000000 | 0.072797 | 0.000000 | 0.027369 | 0.131483 | 0.131515 | 0.131546 ||
|| 0.208219 | 0.893706 | -0.976512 | -0.000000 | -0.000000 | -0.536490 | 0.032390 | 0.000000 | 0.072282 | 0.000000 | 0.027260 | 0.131900 | 0.131932 | 0.131964 ||
|| 0.164384 | 0.887963 | -0.975228 | -0.000000 | -0.000000 | -0.534307 | 0.032314 | 0.000000 | 0.071708 | 0.000000 | 0.026976 | 0.130965 | 0.130997 | 0.131030 ||
|| 0.123288 | 0.882611 | -0.974025 | -0.000000 | -0.000000 | -0.530024 | 0.032140 | 0.000000 | 0.071233 | 0.000000 | 0.026872 | 0.130213 | 0.130245 | 0.130277 ||
|| 0.082192 | 0.877334 | -0.972825 | -0.000000 | -0.000000 | -0.524037 | 0.031024 | 0.000000 | 0.070762 | 0.000000 | 0.026623 | 0.128378 | 0.128409 | 0.128440 ||
|| 0.041096 | 0.872147 | -0.971625 | 0.000000 | -0.000000 | -0.522099 | 0.029879 | 0.000000 | 0.070070 | 0.000000 | 0.026254 | 0.126174 | 0.126203 | 0.126233 ||
|| 0.000000 | 0.867009 | -0.970427 | 0.000000 | -0.000000 | -0.519115 | 0.029149 | 0.000000 | 0.069772 | 0.000000 | 0.026105 | 0.124996 | 0.125025 | 0.125055 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 4 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@a42af6b
aMV = [Lorg.drip.exposure.universe.MarketVertex;@3de82d0e
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) REPLICATION PORTFOLIO EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Asset Price Realization ||
|| - Realization of the Zero Coupon Bank Bond Price ||
|| - Realization of the Zero Coupon Counter Party Bond Price ||
|| - Realization of the Zero Coupon Collateral Bond Price ||
|| - Derivative XVA Asset Replication Units ||
|| - Derivative XVA Value Bank Bond Replication Units ||
|| - Derivative XVA Value Counter Party Bond Replication Units ||
|| - Derivative XVA Value Cash Account Replication Units ||
|| - Derivative Cash Account Accumulation Component ||
|| - Asset Cash Account Accumulation Component ||
|| - Bank Cash Account Accumulation Component ||
|| - Counter Party Cash Account Accumulation Component ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 0.956164 | 0.993566 | 1.239775 | 0.999014 | 0.997918 | 0.999171 | 0.998685 | -0.000000 | -0.593946 | 0.001683 | 0.001683 | 0.001629 | 0.000054 | -0.000000 ||
|| 0.915068 | 0.987542 | 1.251187 | 0.997513 | 0.997291 | 0.999162 | 0.997454 | -0.000000 | -0.592754 | 0.003297 | 0.001614 | 0.001539 | 0.000047 | 0.000028 ||
|| 0.873973 | 0.981519 | 1.253524 | 0.996105 | 0.996700 | 0.998743 | 0.996224 | -0.000000 | -0.587895 | 0.004912 | 0.001615 | 0.001540 | 0.000047 | 0.000028 ||
|| 0.832877 | 0.975552 | 1.227711 | 0.994317 | 0.994609 | 0.997811 | 0.994996 | -0.000000 | -0.583860 | 0.006493 | 0.001581 | 0.001507 | 0.000046 | 0.000028 ||
|| 0.789041 | 0.969249 | 1.206949 | 0.993014 | 0.993682 | 0.997816 | 0.993687 | -0.000000 | -0.582899 | 0.008155 | 0.001662 | 0.001578 | 0.000052 | 0.000031 ||
|| 0.747945 | 0.963369 | 1.205453 | 0.991707 | 0.992263 | 0.997178 | 0.992462 | -0.000000 | -0.579197 | 0.009704 | 0.001549 | 0.001476 | 0.000046 | 0.000027 ||
|| 0.706849 | 0.957552 | 1.187338 | 0.990579 | 0.990948 | 0.995938 | 0.991239 | -0.000000 | -0.576975 | 0.011228 | 0.001524 | 0.001452 | 0.000045 | 0.000027 ||
|| 0.665753 | 0.951770 | 1.180140 | 0.989570 | 0.989601 | 0.995609 | 0.990016 | -0.000000 | -0.574515 | 0.012742 | 0.001513 | 0.001441 | 0.000045 | 0.000027 ||
|| 0.624658 | 0.945993 | 1.194457 | 0.988581 | 0.988586 | 0.994470 | 0.988796 | -0.000000 | -0.571945 | 0.014270 | 0.001529 | 0.001457 | 0.000045 | 0.000027 ||
|| 0.580822 | 0.939921 | 1.156204 | 0.986866 | 0.987202 | 0.994168 | 0.987496 | -0.000000 | -0.568545 | 0.015854 | 0.001584 | 0.001502 | 0.000051 | 0.000030 ||
|| 0.539726 | 0.934238 | 1.151585 | 0.984998 | 0.985745 | 0.994360 | 0.986278 | -0.000000 | -0.566165 | 0.017326 | 0.001472 | 0.001401 | 0.000044 | 0.000026 ||
|| 0.498630 | 0.928658 | 1.097786 | 0.983929 | 0.985111 | 0.994264 | 0.985062 | -0.000000 | -0.563764 | 0.018730 | 0.001404 | 0.001334 | 0.000044 | 0.000026 ||
|| 0.457534 | 0.923123 | 1.087222 | 0.982453 | 0.984748 | 0.993990 | 0.983848 | -0.000000 | -0.559128 | 0.020120 | 0.001390 | 0.001319 | 0.000044 | 0.000026 ||
|| 0.416438 | 0.917645 | 1.082834 | 0.981943 | 0.983639 | 0.994176 | 0.982635 | -0.000000 | -0.554259 | 0.021502 | 0.001382 | 0.001313 | 0.000044 | 0.000026 ||
|| 0.372603 | 0.911900 | 1.055236 | 0.980117 | 0.982646 | 0.993637 | 0.981343 | -0.000000 | -0.551084 | 0.022943 | 0.001441 | 0.001363 | 0.000049 | 0.000029 ||
|| 0.331507 | 0.906500 | 1.078642 | 0.978716 | 0.981070 | 0.993344 | 0.980133 | -0.000000 | -0.547939 | 0.024316 | 0.001373 | 0.001304 | 0.000043 | 0.000026 ||
|| 0.290411 | 0.901126 | 1.078258 | 0.978560 | 0.979712 | 0.993286 | 0.978924 | -0.000000 | -0.546375 | 0.025686 | 0.001370 | 0.001302 | 0.000043 | 0.000025 ||
|| 0.249315 | 0.895796 | 1.066819 | 0.977876 | 0.977999 | 0.992689 | 0.977717 | -0.000000 | -0.544474 | 0.027041 | 0.001354 | 0.001287 | 0.000043 | 0.000025 ||
|| 0.208219 | 0.890515 | 1.057266 | 0.976050 | 0.976222 | 0.992317 | 0.976512 | -0.000000 | -0.543524 | 0.028382 | 0.001341 | 0.001274 | 0.000042 | 0.000025 ||
|| 0.164384 | 0.884893 | 1.057065 | 0.975422 | 0.975185 | 0.991793 | 0.975228 | -0.000000 | -0.542093 | 0.029814 | 0.001433 | 0.001357 | 0.000048 | 0.000028 ||
|| 0.123288 | 0.879665 | 1.057320 | 0.974004 | 0.973974 | 0.992156 | 0.974025 | -0.000000 | -0.538951 | 0.031151 | 0.001337 | 0.001270 | 0.000042 | 0.000025 ||
|| 0.082192 | 0.874457 | 1.046547 | 0.973350 | 0.972520 | 0.991255 | 0.972825 | -0.000000 | -0.536589 | 0.032474 | 0.001322 | 0.001256 | 0.000042 | 0.000025 ||
|| 0.041096 | 0.869318 | 1.005485 | 0.972586 | 0.970616 | 0.990995 | 0.971625 | -0.000000 | -0.535113 | 0.033745 | 0.001271 | 0.001205 | 0.000041 | 0.000025 ||
|| 0.000000 | 0.864195 | 1.000000 | 0.971401 | 0.969206 | 0.990394 | 0.970427 | -0.000000 | -0.534464 | 0.035007 | 0.001263 | 0.001197 | 0.000041 | 0.000024 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 7 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@6e2a7056
aMV = [Lorg.drip.exposure.universe.MarketVertex;@22c0af8e
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) REPLICATION PORTFOLIO EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Asset Price Realization ||
|| - Realization of the Zero Coupon Bank Bond Price ||
|| - Realization of the Zero Coupon Counter Party Bond Price ||
|| - Realization of the Zero Coupon Collateral Bond Price ||
|| - Derivative XVA Asset Replication Units ||
|| - Derivative XVA Value Bank Bond Replication Units ||
|| - Derivative XVA Value Counter Party Bond Replication Units ||
|| - Derivative XVA Value Cash Account Replication Units ||
|| - Derivative Cash Account Accumulation Component ||
|| - Asset Cash Account Accumulation Component ||
|| - Bank Cash Account Accumulation Component ||
|| - Counter Party Cash Account Accumulation Component ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 1.000000 | 1.000000 | 0.977638 | 1.000000 | 1.000000 | 1.000000 | 1.000000 | -0.000000 | -0.600000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|| 0.956164 | 0.994054 | 0.984542 | 0.997852 | 0.999293 | 1.000000 | 0.998685 | -0.000000 | -0.611714 | 0.001348 | 0.001348 | 0.001294 | 0.000054 | -0.000000 ||
|| 0.915068 | 0.988473 | 0.970543 | 0.996680 | 0.997422 | 0.999546 | 0.997454 | -0.000000 | -0.607872 | 0.002618 | 0.001270 | 0.001194 | 0.000047 | 0.000029 ||
|| 0.873973 | 0.982940 | 0.947820 | 0.995669 | 0.995682 | 0.998963 | 0.996224 | -0.000000 | -0.607152 | 0.003858 | 0.001240 | 0.001165 | 0.000047 | 0.000029 ||
|| 0.832877 | 0.977473 | 0.907721 | 0.994080 | 0.993691 | 0.998519 | 0.994996 | -0.000000 | -0.606277 | 0.005047 | 0.001189 | 0.001114 | 0.000046 | 0.000028 ||
|| 0.789041 | 0.971625 | 0.935171 | 0.992353 | 0.993341 | 0.997736 | 0.993687 | -0.000000 | -0.604778 | 0.006354 | 0.001308 | 0.001223 | 0.000053 | 0.000032 ||
|| 0.747945 | 0.966142 | 0.945844 | 0.991581 | 0.991535 | 0.997767 | 0.992462 | -0.000000 | -0.600063 | 0.007586 | 0.001232 | 0.001158 | 0.000046 | 0.000028 ||
|| 0.706849 | 0.960656 | 0.978574 | 0.990352 | 0.990342 | 0.997021 | 0.991239 | -0.000000 | -0.598826 | 0.008857 | 0.001270 | 0.001197 | 0.000046 | 0.000028 ||
|| 0.665753 | 0.955173 | 0.998146 | 0.989344 | 0.988836 | 0.996053 | 0.990016 | -0.000000 | -0.596247 | 0.010149 | 0.001292 | 0.001219 | 0.000045 | 0.000028 ||
|| 0.624658 | 0.949708 | 0.989957 | 0.987967 | 0.989109 | 0.995772 | 0.988796 | -0.000000 | -0.593381 | 0.011429 | 0.001280 | 0.001207 | 0.000045 | 0.000028 ||
|| 0.580822 | 0.943912 | 0.977616 | 0.986723 | 0.986574 | 0.995621 | 0.987496 | -0.000000 | -0.587566 | 0.012782 | 0.001353 | 0.001270 | 0.000051 | 0.000031 ||
|| 0.539726 | 0.938457 | 1.013992 | 0.985420 | 0.985391 | 0.994432 | 0.986278 | -0.000000 | -0.587908 | 0.014088 | 0.001306 | 0.001234 | 0.000045 | 0.000027 ||
|| 0.498630 | 0.933052 | 0.990448 | 0.984238 | 0.983800 | 0.994460 | 0.985062 | -0.000000 | -0.585391 | 0.015363 | 0.001275 | 0.001204 | 0.000044 | 0.000027 ||
|| 0.457534 | 0.927653 | 0.989998 | 0.983069 | 0.983870 | 0.994134 | 0.983848 | -0.000000 | -0.582884 | 0.016636 | 0.001273 | 0.001201 | 0.000044 | 0.000027 ||
|| 0.416438 | 0.922280 | 0.979388 | 0.981430 | 0.982645 | 0.993866 | 0.982635 | -0.000000 | -0.577094 | 0.017894 | 0.001258 | 0.001187 | 0.000044 | 0.000027 ||
|| 0.372603 | 0.916609 | 0.950495 | 0.980276 | 0.982078 | 0.993740 | 0.981343 | -0.000000 | -0.573910 | 0.019201 | 0.001307 | 0.001227 | 0.000050 | 0.000030 ||
|| 0.331507 | 0.911325 | 0.954551 | 0.979143 | 0.981239 | 0.993508 | 0.980133 | -0.000000 | -0.569328 | 0.020425 | 0.001224 | 0.001154 | 0.000043 | 0.000027 ||
|| 0.290411 | 0.906049 | 0.968616 | 0.977865 | 0.980361 | 0.992739 | 0.978924 | -0.000000 | -0.565639 | 0.021664 | 0.001239 | 0.001170 | 0.000043 | 0.000026 ||
|| 0.249315 | 0.900788 | 0.971616 | 0.976387 | 0.980173 | 0.992310 | 0.977717 | -0.000000 | -0.561660 | 0.022905 | 0.001241 | 0.001172 | 0.000043 | 0.000026 ||
|| 0.208219 | 0.895552 | 0.975397 | 0.975145 | 0.979255 | 0.992575 | 0.976512 | -0.000000 | -0.556438 | 0.024148 | 0.001243 | 0.001175 | 0.000043 | 0.000026 ||
|| 0.164384 | 0.889956 | 0.991296 | 0.974229 | 0.978748 | 0.991646 | 0.975228 | -0.000000 | -0.552548 | 0.025498 | 0.001350 | 0.001272 | 0.000048 | 0.000029 ||
|| 0.123288 | 0.884742 | 0.983618 | 0.972844 | 0.978175 | 0.991819 | 0.974025 | -0.000000 | -0.547743 | 0.026747 | 0.001249 | 0.001182 | 0.000042 | 0.000026 ||
|| 0.082192 | 0.879511 | 1.002625 | 0.972115 | 0.977444 | 0.991079 | 0.972825 | -0.000000 | -0.543376 | 0.028018 | 0.001270 | 0.001203 | 0.000042 | 0.000025 ||
|| 0.041096 | 0.874310 | 0.992759 | 0.970290 | 0.976622 | 0.990600 | 0.971625 | -0.000000 | -0.539471 | 0.029274 | 0.001256 | 0.001190 | 0.000042 | 0.000025 ||
|| 0.000000 | 0.869155 | 1.000000 | 0.968456 | 0.975993 | 0.990027 | 0.970427 | -0.000000 | -0.535713 | 0.030537 | 0.001263 | 0.001197 | 0.000041 | 0.000025 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 7 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@7a53c287
aMV = [Lorg.drip.exposure.universe.MarketVertex;@5bd97820
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) GREEKS EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Derivative XVA Value Delta ||
|| - Derivative XVA Value Gamma ||
|| - Gain at Bank Default ||
|| - Gain at Counter Party Default ||
|| - Derivative XVA Asset Growth Theta ||
|| - Derivative XVA Collateral Numeraire Growth Theta ||
|| - Derivative XVA Bank Funding Growth Theta ||
|| - Derivative XVA Bank Default Growth Theta ||
|| - Derivative XVA Counter Party Default Growth Theta ||
|| - Derivative XVA Theta Based on Asset Numeraire Down ||
|| - Derivative XVA Theta ||
|| - Derivative XVA Theta Based on Asset Numeraire Up ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 1.000000 | 1.000000 | -1.000000 | 0.000000 | -0.000000 | -0.600000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|| 0.956164 | 0.993887 | -0.998685 | 0.000000 | -0.000000 | -0.593977 | 0.027844 | 0.000000 | 0.081008 | 0.000000 | 0.030595 | 0.139420 | 0.139447 | 0.139475 ||
|| 0.915068 | 0.988190 | -0.997454 | -0.000000 | -0.000000 | -0.593043 | 0.027671 | 0.000000 | 0.080589 | 0.000000 | 0.030372 | 0.138604 | 0.138631 | 0.138659 ||
|| 0.873973 | 0.982523 | -0.996224 | -0.000000 | -0.000000 | -0.590498 | 0.027656 | 0.000000 | 0.079996 | 0.000000 | 0.030251 | 0.137875 | 0.137903 | 0.137931 ||
|| 0.832877 | 0.976866 | -0.994996 | -0.000000 | -0.000000 | -0.587946 | 0.027821 | 0.000000 | 0.079634 | 0.000000 | 0.030186 | 0.137613 | 0.137640 | 0.137668 ||
|| 0.789041 | 0.970853 | -0.993687 | -0.000000 | -0.000000 | -0.585068 | 0.028396 | 0.000000 | 0.078966 | 0.000000 | 0.029810 | 0.137144 | 0.137173 | 0.137201 ||
|| 0.747945 | 0.965278 | -0.992462 | -0.000000 | -0.000000 | -0.581372 | 0.027841 | 0.000000 | 0.078255 | 0.000000 | 0.029557 | 0.135626 | 0.135654 | 0.135681 ||
|| 0.706849 | 0.959739 | -0.991239 | -0.000000 | -0.000000 | -0.577259 | 0.027673 | 0.000000 | 0.077748 | 0.000000 | 0.029371 | 0.134764 | 0.134792 | 0.134819 ||
|| 0.665753 | 0.954188 | -0.990016 | -0.000000 | -0.000000 | -0.575572 | 0.028646 | 0.000000 | 0.077220 | 0.000000 | 0.029201 | 0.135038 | 0.135066 | 0.135095 ||
|| 0.624658 | 0.948676 | -0.988796 | -0.000000 | -0.000000 | -0.569909 | 0.028551 | 0.000000 | 0.076619 | 0.000000 | 0.028965 | 0.134106 | 0.134135 | 0.134163 ||
|| 0.580822 | 0.942808 | -0.987496 | -0.000000 | -0.000000 | -0.566550 | 0.028767 | 0.000000 | 0.076310 | 0.000000 | 0.028777 | 0.133826 | 0.133854 | 0.133883 ||
|| 0.539726 | 0.937318 | -0.986278 | -0.000000 | -0.000000 | -0.563857 | 0.029001 | 0.000000 | 0.075918 | 0.000000 | 0.028682 | 0.133572 | 0.133601 | 0.133630 ||
|| 0.498630 | 0.931855 | -0.985062 | -0.000000 | -0.000000 | -0.558544 | 0.028482 | 0.000000 | 0.075792 | 0.000000 | 0.028661 | 0.132906 | 0.132935 | 0.132963 ||
|| 0.457534 | 0.926435 | -0.983848 | -0.000000 | -0.000000 | -0.554860 | 0.028411 | 0.000000 | 0.075188 | 0.000000 | 0.028298 | 0.131868 | 0.131896 | 0.131925 ||
|| 0.416438 | 0.921110 | -0.982635 | -0.000000 | -0.000000 | -0.554894 | 0.027341 | 0.000000 | 0.074293 | 0.000000 | 0.027939 | 0.129546 | 0.129573 | 0.129600 ||
|| 0.372603 | 0.915441 | -0.981343 | -0.000000 | -0.000000 | -0.550957 | 0.027643 | 0.000000 | 0.073849 | 0.000000 | 0.027827 | 0.129291 | 0.129318 | 0.129346 ||
|| 0.331507 | 0.910122 | -0.980133 | -0.000000 | -0.000000 | -0.551008 | 0.028306 | 0.000000 | 0.073419 | 0.000000 | 0.027694 | 0.129390 | 0.129418 | 0.129447 ||
|| 0.290411 | 0.904808 | -0.978924 | -0.000000 | -0.000000 | -0.546109 | 0.028270 | 0.000000 | 0.073232 | 0.000000 | 0.027816 | 0.129290 | 0.129318 | 0.129346 ||
|| 0.249315 | 0.899549 | -0.977717 | -0.000000 | -0.000000 | -0.542532 | 0.027640 | 0.000000 | 0.072783 | 0.000000 | 0.027536 | 0.127930 | 0.127958 | 0.127986 ||
|| 0.208219 | 0.894367 | -0.976512 | -0.000000 | -0.000000 | -0.539738 | 0.026682 | 0.000000 | 0.072093 | 0.000000 | 0.027329 | 0.126077 | 0.126103 | 0.126130 ||
|| 0.164384 | 0.888845 | -0.975228 | -0.000000 | -0.000000 | -0.536822 | 0.027542 | 0.000000 | 0.071361 | 0.000000 | 0.027075 | 0.125950 | 0.125978 | 0.126005 ||
|| 0.123288 | 0.883662 | -0.974025 | -0.000000 | -0.000000 | -0.534529 | 0.028291 | 0.000000 | 0.070880 | 0.000000 | 0.026936 | 0.126078 | 0.126107 | 0.126135 ||
|| 0.082192 | 0.878526 | -0.972825 | -0.000000 | -0.000000 | -0.529491 | 0.027291 | 0.000000 | 0.070779 | 0.000000 | 0.026920 | 0.124963 | 0.124990 | 0.125017 ||
|| 0.041096 | 0.873349 | -0.971625 | -0.000000 | -0.000000 | -0.523652 | 0.028509 | 0.000000 | 0.070702 | 0.000000 | 0.026743 | 0.125924 | 0.125953 | 0.125981 ||
|| 0.000000 | 0.868204 | -0.970427 | -0.000000 | -0.000000 | -0.520316 | 0.029149 | 0.000000 | 0.069868 | 0.000000 | 0.026183 | 0.125170 | 0.125199 | 0.125228 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 0 ms
| Run Duration => 5 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@73d1b0b4
||--------------------------------------------------------------------||
|| ASSET, OVERNIGHT INDEX, AND COLLATERAL NUMERAIRE ||
||--------------------------------------------------------------------||
|| L -> R: ||
|| - Date ||
|| - Overnight Index Rate ||
|| - Overnight Index Numeraire ||
|| - Collateral Scheme Rate ||
|| - Collateral Scheme Numeraire ||
||--------------------------------------------------------------------||
|| 27-JAN-2020 => 1.000000 | 0.00% | 0.996521 | 0.00% | 0.992212 ||
|| 11-FEB-2020 => 1.018806 | 0.23% | 0.996616 | 1.57% | 0.992850 ||
|| 26-FEB-2020 => 1.017312 | 0.61% | 0.996864 | 0.80% | 0.993176 ||
|| 12-MAR-2020 => 1.030886 | -0.36% | 0.996717 | 2.03% | 0.994003 ||
|| 27-MAR-2020 => 1.034719 | 0.72% | 0.997011 | 1.72% | 0.994705 ||
|| 12-APR-2020 => 1.042114 | 0.53% | 0.997244 | 0.94% | 0.995115 ||
|| 27-APR-2020 => 1.062176 | -0.60% | 0.996997 | 0.42% | 0.995287 ||
|| 12-MAY-2020 => 1.082196 | -0.16% | 0.996933 | 2.00% | 0.996106 ||
|| 27-MAY-2020 => 1.082828 | 0.16% | 0.996999 | 1.87% | 0.996873 ||
|| 11-JUN-2020 => 1.122877 | 0.67% | 0.997274 | -0.64% | 0.996612 ||
|| 27-JUN-2020 => 1.121942 | 1.51% | 0.997933 | -0.39% | 0.996442 ||
|| 12-JUL-2020 => 1.135547 | 0.15% | 0.997995 | -2.10% | 0.995584 ||
|| 27-JUL-2020 => 1.118776 | 0.64% | 0.998255 | 0.99% | 0.995990 ||
|| 11-AUG-2020 => 1.140317 | 1.63% | 0.998922 | 0.64% | 0.996252 ||
|| 26-AUG-2020 => 1.101383 | 0.01% | 0.998926 | 1.43% | 0.996836 ||
|| 11-SEP-2020 => 1.116072 | 0.59% | 0.999182 | -0.42% | 0.996654 ||
|| 26-SEP-2020 => 1.129009 | 0.61% | 0.999434 | -0.08% | 0.996622 ||
|| 11-OCT-2020 => 1.124766 | 0.36% | 0.999583 | 1.10% | 0.997073 ||
|| 26-OCT-2020 => 1.108532 | 0.84% | 0.999929 | 2.03% | 0.997906 ||
|| 10-NOV-2020 => 1.087278 | -0.13% | 0.999876 | -0.97% | 0.997510 ||
|| 26-NOV-2020 => 1.062033 | -0.45% | 0.999679 | 1.09% | 0.997986 ||
|| 11-DEC-2020 => 1.018108 | 0.16% | 0.999743 | 2.16% | 0.998871 ||
|| 26-DEC-2020 => 1.014975 | 0.09% | 0.999781 | 1.24% | 0.999379 ||
|| 10-JAN-2021 => 1.047182 | 0.19% | 0.999857 | 2.00% | 1.000199 ||
|| 26-JAN-2021 => 1.047964 | 0.33% | 1.000000 | -0.45% | 1.000000 ||
||--------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------||
|| BANK REALIZATION VERTEX => SURVIVAL, SENIOR/SUBORDINATE NODE METRICS ||
||----------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Date ||
|| - Hazard Rate ||
|| - Survival Probability ||
|| - Senior Recovery Rate ||
|| - Senior Funding Spread ||
|| - Senior Funding Numeraire ||
|| - Subordinate Recovery Rate ||
|| - Subordinate Funding Spread ||
|| - Subordinate Funding Numeraire ||
||----------------------------------------------------------------------------------------------||
|| 27-JAN-2020 => 0.030000 | 0.998769 | 40% | 5.00% | 0.972975 | ?% | ?% | ? ||
|| 11-FEB-2020 => 0.030088 | 0.998765 | 40% | 2.43% | 0.974039 | ?% | ?% | ? ||
|| 26-FEB-2020 => 0.029954 | 0.997537 | 40% | 1.36% | 0.974824 | ?% | ?% | ? ||
|| 12-MAR-2020 => 0.029956 | 0.996311 | 40% | 2.03% | 0.975494 | ?% | ?% | ? ||
|| 27-MAR-2020 => 0.029875 | 0.995089 | 39% | 1.22% | 0.976272 | ?% | ?% | ? ||
|| 12-APR-2020 => 0.030099 | 0.993778 | 40% | 4.28% | 0.978332 | ?% | ?% | ? ||
|| 27-APR-2020 => 0.030258 | 0.992544 | 40% | 3.62% | 0.979544 | ?% | ?% | ? ||
|| 12-MAY-2020 => 0.030078 | 0.991319 | 40% | 3.26% | 0.980793 | ?% | ?% | ? ||
|| 27-MAY-2020 => 0.030249 | 0.990088 | 40% | 3.33% | 0.982201 | ?% | ?% | ? ||
|| 11-JUN-2020 => 0.030282 | 0.988857 | 40% | 2.50% | 0.983482 | ?% | ?% | ? ||
|| 27-JUN-2020 => 0.030199 | 0.987550 | 40% | 1.54% | 0.984798 | ?% | ?% | ? ||
|| 12-JUL-2020 => 0.030023 | 0.986333 | 40% | 2.60% | 0.985911 | ?% | ?% | ? ||
|| 27-JUL-2020 => 0.030193 | 0.985111 | 40% | 2.17% | 0.987050 | ?% | ?% | ? ||
|| 11-AUG-2020 => 0.030064 | 0.983895 | 40% | 1.46% | 0.988303 | ?% | ?% | ? ||
|| 26-AUG-2020 => 0.030047 | 0.982682 | 40% | 2.55% | 0.989339 | ?% | ?% | ? ||
|| 11-SEP-2020 => 0.029993 | 0.981392 | 40% | 2.03% | 0.990473 | ?% | ?% | ? ||
|| 26-SEP-2020 => 0.029967 | 0.980185 | 40% | 4.20% | 0.992434 | ?% | ?% | ? ||
|| 11-OCT-2020 => 0.030224 | 0.978969 | 40% | 1.05% | 0.993011 | ?% | ?% | ? ||
|| 26-OCT-2020 => 0.030184 | 0.977756 | 40% | 2.95% | 0.994560 | ?% | ?% | ? ||
|| 10-NOV-2020 => 0.029875 | 0.976557 | 39% | 0.73% | 0.994807 | ?% | ?% | ? ||
|| 26-NOV-2020 => 0.029944 | 0.975277 | 39% | 2.40% | 0.995655 | ?% | ?% | ? ||
|| 11-DEC-2020 => 0.029926 | 0.974079 | 39% | 3.32% | 0.997079 | ?% | ?% | ? ||
|| 26-DEC-2020 => 0.029898 | 0.972884 | 39% | 2.17% | 0.998006 | ?% | ?% | ? ||
|| 10-JAN-2021 => 0.029946 | 0.971688 | 39% | 2.06% | 0.998929 | ?% | ?% | ? ||
|| 26-JAN-2021 => 0.030176 | 0.970405 | 39% | 2.12% | 1.000000 | ?% | ?% | ? ||
||----------------------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------||
|| COUNTER PARTY REALIZATION VERTEX => SURVIVAL, SENIOR/SUBORDINATE NODE METRICS ||
||----------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Date ||
|| - Hazard Rate ||
|| - Survival Probability ||
|| - Senior Recovery Rate ||
|| - Senior Funding Spread ||
|| - Senior Funding Numeraire ||
||----------------------------------------------------------------------------------------------||
|| 27-JAN-2020 => 0.050000 | 0.997949 | 40% | 8.33% | 0.974122 ||
|| 11-FEB-2020 => 0.050160 | 0.997942 | 40% | 4.05% | 0.975836 ||
|| 26-FEB-2020 => 0.049951 | 0.995897 | 40% | 1.47% | 0.976668 ||
|| 12-MAR-2020 => 0.050009 | 0.993854 | 40% | 4.15% | 0.978191 ||
|| 27-MAR-2020 => 0.050456 | 0.991797 | 40% | 0.72% | 0.978767 ||
|| 12-APR-2020 => 0.050558 | 0.989603 | 40% | 2.39% | 0.980022 ||
|| 27-APR-2020 => 0.050482 | 0.987553 | 40% | 0.83% | 0.980111 ||
|| 12-MAY-2020 => 0.050392 | 0.985511 | 40% | 5.20% | 0.982144 ||
|| 27-MAY-2020 => 0.050554 | 0.983467 | 40% | 2.62% | 0.983265 ||
|| 11-JUN-2020 => 0.050393 | 0.981434 | 40% | 2.09% | 0.984381 ||
|| 27-JUN-2020 => 0.050569 | 0.979263 | 40% | 0.80% | 0.985374 ||
|| 12-JUL-2020 => 0.050357 | 0.977240 | 40% | 4.06% | 0.987078 ||
|| 27-JUL-2020 => 0.050554 | 0.975213 | 40% | 2.69% | 0.988425 ||
|| 11-AUG-2020 => 0.050552 | 0.973190 | 40% | 2.50% | 0.990102 ||
|| 26-AUG-2020 => 0.050526 | 0.971173 | 40% | 2.41% | 0.991085 ||
|| 11-SEP-2020 => 0.050172 | 0.969041 | 40% | 1.89% | 0.992159 ||
|| 26-SEP-2020 => 0.050345 | 0.967039 | 40% | 0.47% | 0.992601 ||
|| 11-OCT-2020 => 0.049969 | 0.965057 | 39% | -0.37% | 0.992600 ||
|| 26-OCT-2020 => 0.049864 | 0.963083 | 39% | 1.98% | 0.993751 ||
|| 10-NOV-2020 => 0.049633 | 0.961122 | 39% | 3.63% | 0.995181 ||
|| 26-NOV-2020 => 0.049641 | 0.959034 | 39% | 0.92% | 0.995387 ||
|| 11-DEC-2020 => 0.049318 | 0.957094 | 39% | 3.74% | 0.996979 ||
|| 26-DEC-2020 => 0.049212 | 0.955161 | 39% | 3.11% | 0.998290 ||
|| 10-JAN-2021 => 0.049062 | 0.953239 | 39% | 0.37% | 0.998520 ||
|| 26-JAN-2021 => 0.049118 | 0.951190 | 39% | 3.06% | 1.000000 ||
||----------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 0 ms
| Run Duration => 5 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
marketVertexGenerator = org.drip.exposure.universe.MarketVertexGenerator@3afb9eb9
aMV = [Lorg.drip.exposure.universe.MarketVertex;@7d635864
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BILATERAL XVA EVOLVER - BURGARD & KJAER (2011) REPLICATION PORTFOLIO EVOLUTION ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Derivative XVA Value ||
|| - Asset Price Realization ||
|| - Realization of the Zero Coupon Bank Bond Price ||
|| - Realization of the Zero Coupon Counter Party Bond Price ||
|| - Realization of the Zero Coupon Collateral Bond Price ||
|| - Derivative XVA Asset Replication Units ||
|| - Derivative XVA Value Bank Bond Replication Units ||
|| - Derivative XVA Value Counter Party Bond Replication Units ||
|| - Derivative XVA Value Cash Account Replication Units ||
|| - Derivative Cash Account Accumulation Component ||
|| - Asset Cash Account Accumulation Component ||
|| - Bank Cash Account Accumulation Component ||
|| - Counter Party Cash Account Accumulation Component ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 1.000000 | 1.000000 | 1.003924 | 1.000000 | 1.000000 | 1.000000 | 1.000000 | -0.000000 | -0.600000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|| 0.956164 | 0.993917 | 1.005365 | 0.998609 | 0.998789 | 1.000000 | 0.998685 | -0.000000 | -0.600247 | 0.001407 | 0.001407 | 0.001321 | 0.000054 | 0.000032 ||
|| 0.915068 | 0.988279 | 0.971494 | 0.997369 | 0.997238 | 0.999527 | 0.997454 | -0.000000 | -0.597503 | 0.002678 | 0.001271 | 0.001195 | 0.000047 | 0.000028 ||
|| 0.873973 | 0.982683 | 0.960342 | 0.995762 | 0.996599 | 0.999526 | 0.996224 | -0.000000 | -0.595339 | 0.003933 | 0.001255 | 0.001180 | 0.000047 | 0.000028 ||
|| 0.832877 | 0.977085 | 0.978028 | 0.994416 | 0.994313 | 0.999004 | 0.994996 | -0.000000 | -0.591772 | 0.005207 | 0.001275 | 0.001200 | 0.000046 | 0.000028 ||
|| 0.789041 | 0.971099 | 1.018962 | 0.993111 | 0.994241 | 0.998334 | 0.993687 | -0.000000 | -0.590924 | 0.006624 | 0.001416 | 0.001332 | 0.000052 | 0.000032 ||
|| 0.747945 | 0.965480 | 1.023770 | 0.991766 | 0.991975 | 0.997884 | 0.992462 | -0.000000 | -0.585640 | 0.007951 | 0.001327 | 0.001253 | 0.000046 | 0.000028 ||
|| 0.706849 | 0.959903 | 1.034126 | 0.991023 | 0.990874 | 0.997741 | 0.991239 | -0.000000 | -0.585581 | 0.009288 | 0.001337 | 0.001264 | 0.000046 | 0.000027 ||
|| 0.665753 | 0.954321 | 1.028216 | 0.989891 | 0.989664 | 0.998035 | 0.990016 | -0.000000 | -0.582580 | 0.010617 | 0.001328 | 0.001256 | 0.000045 | 0.000027 ||
|| 0.624658 | 0.948744 | 1.053335 | 0.988548 | 0.987090 | 0.996965 | 0.988796 | -0.000000 | -0.580661 | 0.011974 | 0.001357 | 0.001285 | 0.000045 | 0.000027 ||
|| 0.580822 | 0.942824 | 1.051766 | 0.987224 | 0.985437 | 0.996161 | 0.987496 | -0.000000 | -0.581434 | 0.013422 | 0.001448 | 0.001367 | 0.000051 | 0.000031 ||
|| 0.539726 | 0.937297 | 1.039794 | 0.985838 | 0.984897 | 0.995938 | 0.986278 | -0.000000 | -0.579242 | 0.014759 | 0.001337 | 0.001265 | 0.000045 | 0.000027 ||
|| 0.498630 | 0.931775 | 1.052379 | 0.984272 | 0.984341 | 0.995280 | 0.985062 | -0.000000 | -0.574460 | 0.016109 | 0.001350 | 0.001279 | 0.000044 | 0.000027 ||
|| 0.457534 | 0.926272 | 1.050266 | 0.983844 | 0.982501 | 0.995114 | 0.983848 | -0.000000 | -0.570484 | 0.017454 | 0.001345 | 0.001275 | 0.000044 | 0.000027 ||
|| 0.416438 | 0.920747 | 1.080538 | 0.981826 | 0.982156 | 0.995024 | 0.982635 | -0.000000 | -0.568849 | 0.018834 | 0.001380 | 0.001310 | 0.000044 | 0.000026 ||
|| 0.372603 | 0.914907 | 1.067453 | 0.979754 | 0.980546 | 0.995060 | 0.981343 | -0.000000 | -0.564004 | 0.020292 | 0.001458 | 0.001378 | 0.000049 | 0.000030 ||
|| 0.331507 | 0.909452 | 1.075499 | 0.978071 | 0.978851 | 0.994792 | 0.980133 | -0.000000 | -0.562411 | 0.021661 | 0.001370 | 0.001300 | 0.000043 | 0.000026 ||
|| 0.290411 | 0.904072 | 1.058257 | 0.977162 | 0.977985 | 0.994109 | 0.978924 | -0.000000 | -0.560786 | 0.023008 | 0.001347 | 0.001278 | 0.000043 | 0.000026 ||
|| 0.249315 | 0.898773 | 1.016546 | 0.975841 | 0.977410 | 0.993779 | 0.977717 | -0.000000 | -0.556990 | 0.024303 | 0.001295 | 0.001226 | 0.000043 | 0.000026 ||
|| 0.208219 | 0.893510 | 1.020853 | 0.974398 | 0.975375 | 0.993595 | 0.976512 | -0.000000 | -0.553329 | 0.025601 | 0.001298 | 0.001230 | 0.000042 | 0.000026 ||
|| 0.164384 | 0.887864 | 1.065795 | 0.972849 | 0.974698 | 0.992979 | 0.975228 | -0.000000 | -0.552249 | 0.027045 | 0.001445 | 0.001368 | 0.000048 | 0.000029 ||
|| 0.123288 | 0.882614 | 1.049564 | 0.971229 | 0.974208 | 0.992637 | 0.974025 | -0.000000 | -0.547782 | 0.028374 | 0.001328 | 0.001261 | 0.000042 | 0.000025 ||
|| 0.082192 | 0.877393 | 1.041945 | 0.969508 | 0.973153 | 0.992269 | 0.972825 | -0.000000 | -0.543395 | 0.029691 | 0.001317 | 0.001250 | 0.000042 | 0.000025 ||
|| 0.041096 | 0.872193 | 1.020604 | 0.968794 | 0.971963 | 0.991905 | 0.971625 | -0.000000 | -0.540484 | 0.030981 | 0.001290 | 0.001223 | 0.000041 | 0.000025 ||
|| 0.000000 | 0.867048 | 1.000000 | 0.966987 | 0.971600 | 0.991975 | 0.970427 | -0.000000 | -0.537477 | 0.032244 | 0.001263 | 0.001197 | 0.000041 | 0.000025 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:02:32 EST 2020
| Setup Time => Mon Jan 27 01:02:32 EST 2020
| Finish Time => Mon Jan 27 01:02:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 ms
|-----------------------------------------------------------------|