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- BK Hedge Error Dual Bond (1) - BK Semi Replication Dual Bond (2) - Gold Plated Two Way CSA (3) - Burgard Kjaer One Way CSA (4) - Burgard Kjaer Set Off Scheme (5) - XVA Dynamics Path Simulator Scheme (6) - Path Simulator Position Replicator Scheme (7, 8) - Path Simulator Vertex Generation Scheme (9, 10) - Albanese Andersen Vertex Generation Scheme (11, 12) - Path Simulator Scheme Hedge Error (14) - Path Simulator Scheme Close Out (15) - Path Simulator Scheme Constructor Annotation (16, 17, 18) - Path Simulator Scheme Albanese Andersen (19, 20) - Albanese Andersen Unit Position Value (21) - Path Simulator Collateral Group Vertex (23) - Burgard Kjaer Hedge Error Dual (24) - Burgard Kjaer Semi Replication Dual (25) - Burgard Kjaer Two Way CSA (26) - Burgard Kjaer One Way CSA (27) - Burgard Kjaer Two Way CSA (28) - Dynamics Adjustment Digest Scheme (31) - Path Simulator Adjustment Scheme #1 (32, 33) - Dynamics Broken Date Interpolation Scheme (36, 37, 38) - Path Simulator Interpolator Scheme #1 (39, 40) - Path Simulator Interpolator Scheme #2 (41, 42) - Position Value Collateral Balance Array (43, 44) - Path Simulator Interpolator Scheme #3 (45, 46) - Path Simulator Interpolator Scheme #4 (47, 48) - Path Simulator Interpolator Scheme #5 (49, 50) - Path Simulator Interpolator Scheme #6 (51, 52) - Path Simulator Three Point Brownian (53) - Market Vertex Generator Correlation #1 (55, 56) - Market Vertex Generator Correlation #2 (57, 58) Bug Fixes/Clean-up: Samples: - Basel Fix Float Digest #1 (13) - Basel Fix Float Digest #2 (22) - Albanese Andersen Basel Proxy #1 (29, 30) - Albanese Andersen Basel Proxy #2 (34, 35) - Albanese Andersen Basel Proxy #3 (54)
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| Features: | ||
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| - BK Hedge Error Dual Bond (1) | ||
| - BK Semi Replication Dual Bond (2) | ||
| - Gold Plated Two Way CSA (3) | ||
| - Burgard Kjaer One Way CSA (4) | ||
| - Burgard Kjaer Set Off Scheme (5) | ||
| - XVA Dynamics Path Simulator Scheme (6) | ||
| - Path Simulator Position Replicator Scheme (7, 8) | ||
| - Path Simulator Vertex Generation Scheme (9, 10) | ||
| - Albanese Andersen Vertex Generation Scheme (11, 12) | ||
| - Path Simulator Scheme Hedge Error (14) | ||
| - Path Simulator Scheme Close Out (15) | ||
| - Path Simulator Scheme Constructor Annotation (16, 17, 18) | ||
| - Path Simulator Scheme Albanese Andersen (19, 20) | ||
| - Albanese Andersen Unit Position Value (21) | ||
| - Path Simulator Collateral Group Vertex (23) | ||
| - Burgard Kjaer Hedge Error Dual (24) | ||
| - Burgard Kjaer Semi Replication Dual (25) | ||
| - Burgard Kjaer Two Way CSA (26) | ||
| - Burgard Kjaer One Way CSA (27) | ||
| - Burgard Kjaer Two Way CSA (28) | ||
| - Dynamics Adjustment Digest Scheme (31) | ||
| - Path Simulator Adjustment Scheme #1 (32, 33) | ||
| - Dynamics Broken Date Interpolation Scheme (36, 37, 38) | ||
| - Path Simulator Interpolator Scheme #1 (39, 40) | ||
| - Path Simulator Interpolator Scheme #2 (41, 42) | ||
| - Position Value Collateral Balance Array (43, 44) | ||
| - Path Simulator Interpolator Scheme #3 (45, 46) | ||
| - Path Simulator Interpolator Scheme #4 (47, 48) | ||
| - Path Simulator Interpolator Scheme #5 (49, 50) | ||
| - Path Simulator Interpolator Scheme #6 (51, 52) | ||
| - Path Simulator Three Point Brownian (53) | ||
| - Market Vertex Generator Correlation #1 (55, 56) | ||
| - Market Vertex Generator Correlation #2 (57, 58) | ||
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| Bug Fixes/Clean-up: | ||
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| Samples: | ||
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| - Basel Fix Float Digest #1 (13) | ||
| - Basel Fix Float Digest #2 (22) | ||
| - Albanese Andersen Basel Proxy #1 (29, 30) | ||
| - Albanese Andersen Basel Proxy #2 (34, 35) | ||
| - Albanese Andersen Basel Proxy #3 (54) |
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| release.scope=patch | ||
| release.version=3.27.0-SNAPSHOT | ||
| release.version=3.28.0-SNAPSHOT | ||
| org.gradle.jvmargs=-Xmx4000m |
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| * @author Lakshmi Krishnamurthy | ||
| */ | ||
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| package org.drip.sample.xvasimulation; | ||
| package org.drip.sample.xvafixfloat; | ||
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src/main/java/org/drip/xva/dynamics/AdjustmentDigestScheme.java
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| package org.drip.xva.dynamics; | ||
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| /* | ||
| * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- | ||
| */ | ||
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| /*! | ||
| * Copyright (C) 2018 Lakshmi Krishnamurthy | ||
| * | ||
| * This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model | ||
| * libraries targeting analysts and developers | ||
| * https://lakshmidrip.github.io/DRIP/ | ||
| * | ||
| * DRIP is composed of four main libraries: | ||
| * | ||
| * - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/ | ||
| * - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/ | ||
| * - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/ | ||
| * - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/ | ||
| * | ||
| * - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options, | ||
| * Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA | ||
| * Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV | ||
| * Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM | ||
| * Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics. | ||
| * | ||
| * - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy | ||
| * Incorporator, Holdings Constraint, and Transaction Costs. | ||
| * | ||
| * - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality. | ||
| * | ||
| * - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning. | ||
| * | ||
| * 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. | ||
| */ | ||
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| /** | ||
| * AdjustmentDigestScheme contains Settings to the Schemes that generate Aggregated Valuation Adjustment | ||
| * Metrics. 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. | ||
| * | ||
| * - 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 (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. | ||
| * | ||
| * @author Lakshmi Krishnamurthy | ||
| */ | ||
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| public class AdjustmentDigestScheme | ||
| { | ||
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| /** | ||
| * Albanese Andersen Metrics Pointer Scheme | ||
| */ | ||
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| public static final int ALBANESE_ANDERSEN_METRICS_POINTER = 1; | ||
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| } |
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