Uses of Class
com.quantfinlib.credit.ExposureProfile
Packages that use ExposureProfile
-
Uses of ExposureProfile in com.quantfinlib.credit
Methods in com.quantfinlib.credit that return ExposureProfileModifier and TypeMethodDescriptionstatic ExposureProfileMultiCurrencyExposureSimulator.simulate(MultiCurrencyExposureSimulator.Market market, List<MultiCurrencyExposureSimulator.Swap> swaps, List<MultiCurrencyExposureSimulator.ForeignSwap> foreignSwaps, List<MultiCurrencyExposureSimulator.FxForward> forwards, MultiCurrencyExposureSimulator.BasisFactor basis, MultiCurrencyExposureSimulator.Csa csa, double[] times, int paths, long seed, int wrongWayFxPair) Simulates a netting set with foreign-currency swaps and an optional stochastic basis (added in 2.3).static ExposureProfileMultiCurrencyExposureSimulator.simulate(MultiCurrencyExposureSimulator.Market market, List<MultiCurrencyExposureSimulator.Swap> swaps, List<MultiCurrencyExposureSimulator.FxForward> forwards, MultiCurrencyExposureSimulator.Csa csa, double[] times, int paths, long seed) Simulates the netting set with the FX wrong-way driver taken from pair 0.static ExposureProfileMultiCurrencyExposureSimulator.simulate(MultiCurrencyExposureSimulator.Market market, List<MultiCurrencyExposureSimulator.Swap> swaps, List<MultiCurrencyExposureSimulator.FxForward> forwards, MultiCurrencyExposureSimulator.Csa csa, double[] times, int paths, long seed, int wrongWayFxPair) Simulates the netting set.Methods in com.quantfinlib.credit with parameters of type ExposureProfileModifier and TypeMethodDescriptionstatic CvaApproximator.BilateralCvaApproximator.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.BilateralCvaApproximator.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 doubleCvaApproximator.cva(ExposureProfile profile, CreditCurve counterparty, double lgd) CVA from a simulated exposure profile, independent default:LGD * sum_i E[D(0,t_i) E(t_i)] * [Q(t_{i-1}) - Q(t_i)].static doubleCvaApproximator.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).static doubleCvaApproximator.dva(ExposureProfile profile, CreditCurve own, double ownLgd) DVA from a simulated exposure profile: the same sum over the negative exposure and the bank's own credit curve.