lakshmidrip / drop Goto Github PK

CounterPartyGroupSpecification contains the Specifications of a Counter Party Group. The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

DC30_360 implements the 30/360 day count convention.

MarketVertex holds the Market Realizations at a Market Trajectory Vertex needed for computing the Valuation Adjustment. The References are:

• Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87
  
  

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  
  

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  
  

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  
  

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102
  
  

EntityMarketVertex holds the Realizations at a Market Trajectory Vertex of the given Entity (i.e., Bank/Counter Party). The References are:

• Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87
  
  

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  
  

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  
  

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  
  

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk21 (2) 97-102
  
  

MarketVertexGenerator generates the Market Realizations at a Trajectory Vertex needed for computing the Valuation Adjustment. The References are:

• Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87
  
  

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
  
  

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  
  

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  
  

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102
  
  

ParabolicDifferentialOperator sets up the Parabolic Differential Equation based on the Ito Evolution Differential for the Reference Underlier Asset, as laid out in Burgard and Kjaer (2014). The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

ComposableUnitFloatingPeriod contains the Cash Flow Periods' Composable Period Details. Currently it holds the Accrual Start Date, the Accrual End Date, the Fixing Date, the Spread over the Index, and the corresponding Reference Index Period.

CollateralGroupSpecification contains the Specifications of a Collateral Group. The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

DCAct_365L implements the Act/365L day count convention.

DCAct_360 implements the Act/360 day count convention.

DCNL_360 implements the NL/360 day count convention.

DateEOMAdjustment holds the applicable adjustments for a given date pair. It exposes the following functionality:

• Static Methods for creating 30/360, 30/365, and EOMA Date Adjustments
• Export Anterior and Posterior EOM Adjustments

DC30_365 Implements the 30/365 Day Count Convention.

DC1_1 implements the 1/1 day count convention.

ActActDCParams contains parameters to represent Act/Act day count. It exports the following functionality:

• Frequency/Start/End Date Fields
• Serialization/De-serialization to and from Byte Arrays

Bullet is designed to hold the Point Realizations of the Latent States relevant to Terminal Valuation of a Bullet Cash Flow. Current it contains the Period Dates, Period Latent State Identifiers, and the "Extensive" Fields.

TradeablesContainer describes the Economy with the following Traded Assets - the Overnight Index
Numeraire, the Collateral Scheme Numeraire, the Default-able Bank Bond Numeraire, the Array of
Default-able Counter-party Numeraires, and an Asset that follows Brownian Motion. The References are:

• Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option eSSRN https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955

• Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies Risk 23 (12) 82-87

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accounting eSSRN
  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011.

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

BurgardKjaerOperator sets up the Parabolic Differential Equation PDE based on the Ito Evolution Differential for the Reference Underlier Asset, as laid out in Burgard and Kjaer (2014). The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

DateUtil contains Various Utilities for manipulating Date. The Julian Date - Gregorian Date Inter Conversion follows the following References:

• Fliegel, H. F., and T. C. van Flandern (1968): A Machine Algorithm for Processing Calendar Dates Communications of the ACM 11 657
• Fenton, D. (2001): Julian to Calendar Date Conversion http://mathforum.org/library/drmath/view/51907.html

VertexDateBuilder exports Static Functions that create Vertex Dates using different Schemes. The References are:

• Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

BurgardKjaerEdge holds the Underlier Stochastic and the Credit Risk Free Components of the XVA Derivative Value Growth, as laid out in Burgard and Kjaer (2014). The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

LatentStateMarketVertex holds the Epochal and the Nodal Latent State Realizations at a Market Trajectory Vertex needed for computing the Valuation Adjustment. The References are:

• Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

DateTime provides the representation of the instantiation-time date and time objects. It provides the following functionality:

• Instantiation-time and Explicit Date/Time Construction
• Retrieval of Date/Time Fields
• Serialization/De-serialization to and from Byte Arrays

MarketPath holds the Vertex Market Realizations at the Trajectory Vertexes along the Path of a Simulation. The References are:

• Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

Equity describes a Tradeable Equity. The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter Party Risk
  and Funding Costs Journal of Credit Risk 7 (3) 1-19
  
  

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing,
  and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance
  New York
  
  

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  
  

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the
  Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing
  Singapore
  
  

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
  Risk 21 (2) 97-102
  
  

TrajectoryEvolutionScheme holds the Evolution Edges of a Trajectory evolved in a Dynamically Adaptive Manner, as laid out in Burgard and Kjaer (2014). The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

RollUpGroupSpecification contains the Specifications of a Roll Up Group. The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

DCNL_Act implements the NL/Act day count convention.

DCAct_Act_ISDA implements the ISDA Act/Act day count convention.

Tradeable holds Definitions and Parameters that specify a Tradeable Entity in XVA Terms. The References
are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19.

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing
  Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

CompositePeriod implements the Composite Coupon Period Functionality. It contains the Composite Period Coupon Frequency, Tenor, Accrual Compounding Rule, Day Count, Base Notional, Coupon/Notional Schedules, Pay Currency, Credit Label, FX Fixing Setting, and the List of Composable Period Units.

DC30E_360 implements the 30E/360 day count convention.

MarketEdge holds the Vertex Realizations of the Market States of the Reference Universe along an Evolution Edge. The References are:

• Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option eSSRN https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  
  

• Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies Risk 23 (12) 82-87
  
  

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
  
  

• Burgard, C., and M. Kjaer (2017): Derivatives Funding, Netting, and Accountingb eSSRN https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2534011
  
  

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102
  
  

Convention contains flags that indicate where the holidays are loaded from, as well as the holiday types and load rules. It exports the following date related functionality:

• Add business days according to the specified calendar
• The Year Fraction between any 2 days given the day count type and the holiday calendar
• Adjust/roll to the next working day according to the adjustment rule
• Holiday Functions - is the given day a holiday/business day, the number and the set of holidays/business days between 2 days.
• Calendars and Day counts - Available set of day count conventions and calendars, and the weekend days corresponding to a given calendar.

NettingGroupSpecification contains the Specification of a Netting Group. The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

LossPeriodCurveFactors is an Implementation of the Period Class enhanced by the Loss Period Measures. It exports the following Functionality:

• Start/End Survival Probabilities
• Period Effective Notional/Recovery/Discount Factor
• Serialization into and De-serialization out of Byte Arrays

DC30EPLUS_360_ISDA implements the 30E+/360 ISDA day count convention.

JulianDate provides a comprehensive representation of Julian date and date manipulation functionality. It exports the following functionality:

• Explicit date construction, as well as date construction from several input string formats/today
• Date Addition/Adjustment/Elapsed/Difference, add/subtract days/weeks/months/years and tenor codes
• Leap Year Functionality (number of leap days in the given interval, is the given year a leap year etc.)
• Generate the subsequent IMM date (CME IMM date, CDS/Credit ISDA IMM date etc)
• Year/Month/Day in numbers/characters
• Days Elapsed/Remaining, is EOM
• Comparison with the Other, equals/hash-code/comparator
• Export the date to a variety of date formats (Oracle, Julian, Bloomberg)
• Serialization/De-serialization to and from Byte Arrays

DC30E_360_ISDA implements the 30E/360 ISDA day count convention.

DateAdjustParams contains the parameters needed for adjusting dates. It exports the following functionality:

• Accessor for holiday calendar and adjustment type
• Serialization/De-serialization to and from Byte Arrays

CompositeFloatingPeriod implements the Composite Floating Coupon Period Functionality. It customizes the Period Quote Set and the Basis Quote for the Floating Period.

BurgardKjaerEdgeRun collects the Results of the Burgard Kjaer PDE based on the Risk-Neutral Ito Evolution of the Derivative, as laid out in Burgard and Kjaer (2014). The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

ReferenceIndexPeriod contains the Cash Flow Period Details. Currently it holds the Start Date, the End Date, the Fixing Date, and the Reference Latent State Label.

DC28_360 implements the 28/360 day count convention.

ComposableUnitFixedPeriod represents the Fixed Cash Flow Periods' Composable Period Details. Currently it holds the Accrual Start Date, the Accrual End Date, the Fixed Coupon, the Basis Spread, the Coupon Rate, and the Accrual Day Counts, as well as the EOM Adjustment Flags.

BurgardKjaerEdgeAttribution collects the Attribution Components of the Burgard Kjaer PDE based on the Risk-Neutral Ito Evolution of the Derivative, as laid out in Burgard and Kjaer (2014). The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

• Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York

• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore

• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

DC30_Act implements the 30/Act day count convention.

CompositeFixedPeriod implements the composed fixed coupon period functionality. It customizes the Period Quote Set and the Basis Quote for the Fixed Period.

ComposableUnitPeriod represents the Cash Flow Periods' Composable Unit Period Details. Currently it holds the Accrual Start Date, the Accrual End Date, the Fixed Coupon, the Basis Spread, the Coupon and the Accrual Day Counts, as well as the EOM Adjustment Flags.

DCNL_365 implements the NL/365 day count convention.