Uses of Record Class
com.quantfinlib.credit.CvaApproximator.Bilateral

Packages that use CvaApproximator.Bilateral

Package	Description
com.quantfinlib.credit	Credit curves, CDS pricing and credit spreads.

Uses of CvaApproximator.Bilateral in com.quantfinlib.credit

Methods in com.quantfinlib.credit that return CvaApproximator.Bilateral

Modifier and Type	Method	Description
static CvaApproximator.Bilateral	CvaApproximator.bilateral(ExposureProfile profile, CreditCurve counterparty, double lgd, CreditCurve own, double ownLgd)	Bilateral CVA/DVA from a simulated profile with first-to-default (Brigo and Capponi, "Bilateral counterparty risk with application to CDSs", 2008; Gregory, The xVA Challenge, 3rd ed., 2015, ch. 14).
static CvaApproximator.Bilateral	CvaApproximator.bilateralWrongWay(ExposureProfile profile, CreditCurve counterparty, double lgd, CreditCurve own, double ownLgd, double bCpty, double bOwn, ExposureProfile.Factor driver)	Bilateral CVA/DVA with wrong-way risk on both names and one path-consistent first-to-default (added in 2.3).