Uses of Enum Class
com.quantfinlib.credit.ExposureProfile.Factor

Packages that use ExposureProfile.Factor

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

Uses of ExposureProfile.Factor in com.quantfinlib.credit

Subclasses with type arguments of type ExposureProfile.Factor in com.quantfinlib.credit

Modifier and Type	Class	Description
static enum	ExposureProfile.Factor	Market factor used as the wrong-way driver.

Methods in com.quantfinlib.credit that return ExposureProfile.Factor

Modifier and Type	Method	Description
static ExposureProfile.Factor	ExposureProfile.Factor.valueOf(String name)	Returns the enum constant of this class with the specified name.
static ExposureProfile.Factor[]	ExposureProfile.Factor.values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods in com.quantfinlib.credit with parameters of type ExposureProfile.Factor

Modifier and Type	Method	Description
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).
static double	CvaApproximator.cvaWrongWay(ExposureProfile profile, CreditCurve counterparty, double lgd, double rho, ExposureProfile.Factor driver)	CVA with wrong-way risk through a Gaussian copula between default and a market factor, applied bucket by bucket (Li 2000; Gregory, The xVA Challenge, 3rd ed., 2015, ch. 17; the per-bucket conditioning follows Hull and White, "CVA and wrong-way risk", Financial Analysts Journal 68(5), 2012, where default is tied to the market variable that drives the exposure at each date).