Features:

- Terminal Latent State Numeraire Inheritance (2) - Primary Security Latent State Inheritance (3) - XVA Evolver Primary Security ID (4) - Equity Primary Security ID Constructor (5) - XVA Evolver Dynamics Container Shell (22, 23) - Numeraire Evolver Dynamics Settings Map (24) - State Evolver Dynamics Settings Map (25) - Primary Security Dynamics Settings Map (26) - XVA Evolver Dynamics Container Constructor (27, 28) - Dynamics Container Scaling Numeraire Addition (29, 30) - Dynamics Container Scaling Numeraire Existence (31) - Dynamics Container Scaling Numeraire Retrieval (32, 33) - Dynamics Container Latent State Addition (34, 35) - Dynamics Container Latent State Existence (36, 37) - Dynamics Container Latent State Retrieval (38) - Dynamics Container Primary Security Addition (39, 40) - Dynamics Container Primary Security Existence (41, 42, 43) Bug Fixes/Clean-up: Samples: - Albanese Andersen Basel Proxy #1 (1) - Albanese Andersen Basel Proxy #2 (6, 7) - Correlated Numeraire XVA Attribution (8, 9) - Correlated Numeraire XVA Explain (10) - Correlated Numeraire XVA Greeks (11, 12) - Correlated Numeraire XVA Replication Portfolio (13) - Burgard 2011 XVA Explain (15, 14) - Burgard 2011 XVA Greeks (16) - Burgard 2011 Market Generation (17, 18) - Burgard 2011 Replication Portfolio (19) - Euler Trajectory Evolution Scheme (20, 21)
lakshmiDRIP · Feb 3, 2018 · 90a3881 · 90a3881
1 parent 9b5f783
commit 90a3881
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diff --git a/ReleaseNotes/02_13_2018.txt b/ReleaseNotes/02_13_2018.txt
@@ -0,0 +1,37 @@
+
+Features:
+
+	- Terminal Latent State Numeraire Inheritance (2)
+	- Primary Security Latent State Inheritance (3)
+	- XVA Evolver Primary Security ID (4)
+	- Equity Primary Security ID Constructor (5)
+	- XVA Evolver Dynamics Container Shell (22, 23)
+	- Numeraire Evolver Dynamics Settings Map (24)
+	- State Evolver Dynamics Settings Map (25)
+	- Primary Security Dynamics Settings Map (26)
+	- XVA Evolver Dynamics Container Constructor (27, 28)
+	- Dynamics Container Scaling Numeraire Addition (29, 30)
+	- Dynamics Container Scaling Numeraire Existence (31)
+	- Dynamics Container Scaling Numeraire Retrieval (32, 33)
+	- Dynamics Container Latent State Addition (34, 35)
+	- Dynamics Container Latent State Existence (36, 37)
+	- Dynamics Container Latent State Retrieval (38)
+	- Dynamics Container Primary Security Addition (39, 40)
+	- Dynamics Container Primary Security Existence (41, 42, 43)
+
+
+Bug Fixes/Clean-up:
+
+Samples:
+
+	- Albanese Andersen Basel Proxy #1 (1)
+	- Albanese Andersen Basel Proxy #2 (6, 7)
+	- Correlated Numeraire XVA Attribution (8, 9)
+	- Correlated Numeraire XVA Explain (10)
+	- Correlated Numeraire XVA Greeks (11, 12)
+	- Correlated Numeraire XVA Replication Portfolio (13)
+	- Burgard 2011 XVA Explain (15, 14)
+	- Burgard 2011 XVA Greeks (16)
+	- Burgard 2011 Market Generation (17, 18)
+	- Burgard 2011 Replication Portfolio (19)
+	- Euler Trajectory Evolution Scheme (20, 21)
diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java
@@ -293,6 +293,7 @@ public static final void main (
 		double dblSensitivityShiftFactor = 0.001;
 
 		PrimarySecurity tAsset = new PrimarySecurity (
+			"AAPL",
 			EquityLabel.Standard ("AAPL"),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -304,6 +305,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tOvernightIndex = new PrimarySecurity (
+			currency + "_" + "_OVERNIGHT_ZERO",
 			OvernightLabel.Create (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -315,6 +317,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCollateralScheme = new PrimarySecurity (
+			currency + "_" + "CSA_ZERO",
 			CreditSupportAnnexLabel.ISDA (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -326,6 +329,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSeniorFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -341,6 +345,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSubordinateFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SUBORDINATE_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -356,6 +361,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCounterPartyFunding = new PrimarySecurity (
+			counterParty + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (counterParty),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java
@@ -294,6 +294,7 @@ public static final void main (
 		double dblSensitivityShiftFactor = 0.001;
 
 		PrimarySecurity tAsset = new PrimarySecurity (
+			"AAPL",
 			EquityLabel.Standard ("AAPL"),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -305,6 +306,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tOvernightIndex = new PrimarySecurity (
+			currency + "_" + "_OVERNIGHT_ZERO",
 			OvernightLabel.Create (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -316,6 +318,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCollateralScheme = new PrimarySecurity (
+			currency + "_" + "_CSA_ZERO",
 			CreditSupportAnnexLabel.ISDA (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -327,6 +330,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSeniorFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -342,6 +346,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSubordinateFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SUBORDINATE_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -357,6 +362,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCounterPartyFunding = new PrimarySecurity (
+			counterParty + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (counterParty),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java
@@ -292,6 +292,7 @@ public static final void main (
 		double dblSensitivityShiftFactor = 0.001;
 
 		PrimarySecurity tAsset = new PrimarySecurity (
+			"AAPL",
 			EquityLabel.Standard ("AAPL"),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -303,6 +304,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tOvernightIndex = new PrimarySecurity (
+			currency + "_" + "_OVERNIGHT_ZERO",
 			OvernightLabel.Create (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -314,6 +316,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCollateralScheme = new PrimarySecurity (
+			currency + "_" + "_CSA_ZERO",
 			CreditSupportAnnexLabel.ISDA (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -325,6 +328,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSeniorFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -340,6 +344,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSubordinateFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SUBORDINATE_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -355,6 +360,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCounterPartyFunding = new PrimarySecurity (
+			counterParty + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (counterParty),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java
@@ -292,6 +292,7 @@ public static final void main (
 		double dblSensitivityShiftFactor = 0.001;
 
 		PrimarySecurity tAsset = new PrimarySecurity (
+			"AAPL",
 			EquityLabel.Standard ("AAPL"),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -303,6 +304,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tOvernightIndex = new PrimarySecurity (
+			currency + "_" + "_OVERNIGHT_ZERO",
 			OvernightLabel.Create (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -314,6 +316,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCollateralScheme = new PrimarySecurity (
+			currency + "_" + "_CSA_ZERO",
 			CreditSupportAnnexLabel.ISDA (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -325,6 +328,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSeniorFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -340,6 +344,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSubordinateFunding = new PrimarySecurity (
+			bank + "_" + currency + "_" + "_SUBORDINATE_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -355,6 +360,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCounterPartyFunding = new PrimarySecurity (
+			counterParty + "_" + currency + "_" + "_SENIOR_ZERO",
 			CreditLabel.Standard (counterParty),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAExplain.java b/src/main/java/org/drip/sample/burgard2011/XVAExplain.java
@@ -294,6 +294,7 @@ public static void main (
 		double dblSensitivityShiftFactor = 0.001;
 
 		PrimarySecurity tAsset = new PrimarySecurity (
+			"AAPL",
 			EquityLabel.Standard ("AAPL"),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -305,6 +306,7 @@ public static void main (
 		);
 
 		PrimarySecurity tOvernightIndex = new PrimarySecurity (
+			currency + "_OVERNIGHT_ZERO",
 			OvernightLabel.Create (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -316,6 +318,7 @@ public static void main (
 		);
 
 		PrimarySecurity tCollateralScheme = new PrimarySecurity (
+			currency + "_CSA_ZERO",
 			CreditSupportAnnexLabel.ISDA (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -327,6 +330,7 @@ public static void main (
 		);
 
 		PrimarySecurity tBankSeniorFunding = new PrimarySecurity (
+			bank + "_" + currency + "_SENIOR_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -342,6 +346,7 @@ public static void main (
 		);
 
 		PrimarySecurity tBankSubordinateFunding = new PrimarySecurity (
+			bank + "_" + currency + "_SUBORDINATE_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -357,6 +362,7 @@ public static void main (
 		);
 
 		PrimarySecurity tCounterPartyFunding = new PrimarySecurity (
+			counterParty + "_" + currency + "_SENIOR_ZERO",
 			CreditLabel.Standard (counterParty),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java
@@ -283,6 +283,7 @@ public static void main (
 		double dblSensitivityShiftFactor = 0.001;
 
 		PrimarySecurity tAsset = new PrimarySecurity (
+			"AAPL",
 			EquityLabel.Standard ("AAPL"),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -294,6 +295,7 @@ public static void main (
 		);
 
 		PrimarySecurity tOvernightIndex = new PrimarySecurity (
+			currency + "_OVERNIGHT_ZERO",
 			OvernightLabel.Create (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -305,6 +307,7 @@ public static void main (
 		);
 
 		PrimarySecurity tCollateralScheme = new PrimarySecurity (
+			currency + "_CSA_ZERO",
 			CreditSupportAnnexLabel.ISDA (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -316,6 +319,7 @@ public static void main (
 		);
 
 		PrimarySecurity tBankSeniorFunding = new PrimarySecurity (
+			bank + "_" + currency + "_SENIOR_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -331,6 +335,7 @@ public static void main (
 		);
 
 		PrimarySecurity tBankSubordinateFunding = new PrimarySecurity (
+			bank + "_" + currency + "_SUBORDINATE_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -346,6 +351,7 @@ public static void main (
 		);
 
 		PrimarySecurity tCounterPartyFunding = new PrimarySecurity (
+			counterParty + "_" + currency + "_SENIOR_ZERO",
 			CreditLabel.Standard (counterParty),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAMarketGeneration.java b/src/main/java/org/drip/sample/burgard2011/XVAMarketGeneration.java
@@ -160,6 +160,7 @@ public static final void main (
 		double dblCounterPartyRecoveryRateInitial = 0.30;
 
 		PrimarySecurity tAsset = new PrimarySecurity (
+			"AAPL",
 			EquityLabel.Standard ("AAPL"),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -171,6 +172,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tOvernightIndex = new PrimarySecurity (
+			currency + "_OVERNIGHT_ZERO",
 			OvernightLabel.Create (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -182,6 +184,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCollateralScheme = new PrimarySecurity (
+			currency + "_CSA_ZERO",
 			CreditSupportAnnexLabel.ISDA (currency),
 			new DiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -193,6 +196,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSeniorFunding = new PrimarySecurity (
+			bank + "_" + currency + "_SENIOR_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -208,6 +212,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tBankSubordinateFunding = new PrimarySecurity (
+			bank + "_" + currency + "_SUBORDINATE_ZERO",
 			CreditLabel.Standard (bank),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (
@@ -223,6 +228,7 @@ public static final void main (
 		);
 
 		PrimarySecurity tCounterPartyFunding = new PrimarySecurity (
+			counterParty + "_" + currency + "_SENIOR_ZERO",
 			CreditLabel.Standard (counterParty),
 			new JumpDiffusionEvolver (
 				DiffusionEvaluatorLogarithmic.Standard (