Features:

- Position Group Vertex Component Exposure (7) - Position Group Vertex Close Out (8) - Hypothecation Position Group Vertex Exposure (9) - XVA Hypothecation Position Group Vertex (10) - Position Collateral Group Trajectory Generator (11, 12) - Netting Position Collateral Group Path (17) - Collateral Group Path Adjustment Vertexes (38) - Collateral Group Path - Period Adjustment (39, 40) - Credit Debt Group Path #1 (41, 42) - Credit Debt Group Path UCVA (43, 44) - Credit Debt Group Path FTDCVA (45) - Albanese Andersen Funding Exposure Calculation (46) - Credit Debt Group Path UDVA (47, 48) - Credit Debt Group Path FTDDVA (49) - Period Unilateral Credit Adjustment Vertexes (50, 51) - Period Bilateral Credit Adjustment Vertexes (52) - Period Contra Liability Credit Adjustment (53, 54) - Period Unilateral Debt Adjustment Vertexes (56, 57) - Period Bilateral Debt Adjustment Vertexes (58) Bug Fixes/Clean-up: - Position Collateral Group Path #1 (13, 14) - Position Collateral Group Path #2 (15, 16) - Position Exposure Group Path #1 (18, 19) - Position Exposure Group Path #2 (20, 21) - Position Exposure Group Path #3 (22, 23) - Position Exposure Group Path #4 (24, 25) - Position Exposure Group Path #5 (26, 27) - Position Exposure Group Path #6 (28, 29) - Position Exposure Group Path #7 (30, 31) - Position Exposure Group Path #8 (32, 33) - Position Exposure Group Path #9 (34, 35) - Position Exposure Group Path #10 (36, 37) - Credit Debt Group Extraneous Exception (55) Samples: - Bank Senior Funding Label (1, 2) - Bank Subordinate Funding Label (3, 4) - Counter Party Funding Label (5, 6)
lakshmiDRIP · Mar 7, 2018 · ad97e4e · ad97e4e
1 parent 11638d0
commit ad97e4e
Show file tree

Hide file tree

Showing 131 changed files with 2,043 additions and 1,984 deletions.
diff --git a/ReleaseNotes/03_21_2018.txt b/ReleaseNotes/03_21_2018.txt
@@ -0,0 +1,46 @@
+
+Features:
+
+	- Position Group Vertex Component Exposure (7)
+	- Position Group Vertex Close Out (8)
+	- Hypothecation Position Group Vertex Exposure (9)
+	- XVA Hypothecation Position Group Vertex (10)
+	- Position Collateral Group Trajectory Generator (11, 12)
+	- Netting Position Collateral Group Path (17)
+	- Collateral Group Path Adjustment Vertexes (38)
+	- Collateral Group Path - Period Adjustment (39, 40)
+	- Credit Debt Group Path #1 (41, 42)
+	- Credit Debt Group Path UCVA (43, 44)
+	- Credit Debt Group Path FTDCVA (45)
+	- Albanese Andersen Funding Exposure Calculation (46)
+	- Credit Debt Group Path UDVA (47, 48)
+	- Credit Debt Group Path FTDDVA (49)
+	- Period Unilateral Credit Adjustment Vertexes (50, 51)
+	- Period Bilateral Credit Adjustment Vertexes (52)
+	- Period Contra Liability Credit Adjustment (53, 54)
+	- Period Unilateral Debt Adjustment Vertexes (56, 57)
+	- Period Bilateral Debt Adjustment Vertexes (58)
+
+
+Bug Fixes/Clean-up:
+
+	- Position Collateral Group Path #1 (13, 14)
+	- Position Collateral Group Path #2 (15, 16)
+	- Position Exposure Group Path #1 (18, 19)
+	- Position Exposure Group Path #2 (20, 21)
+	- Position Exposure Group Path #3 (22, 23)
+	- Position Exposure Group Path #4 (24, 25)
+	- Position Exposure Group Path #5 (26, 27)
+	- Position Exposure Group Path #6 (28, 29)
+	- Position Exposure Group Path #7 (30, 31)
+	- Position Exposure Group Path #8 (32, 33)
+	- Position Exposure Group Path #9 (34, 35)
+	- Position Exposure Group Path #10 (36, 37)
+	- Credit Debt Group Extraneous Exception (55)
+
+
+Samples:
+
+	- Bank Senior Funding Label (1, 2)
+	- Bank Subordinate Funding Label (3, 4)
+	- Counter Party Funding Label (5, 6)
diff --git a/src/main/java/org/drip/sample/burgard2012/FixFloatVABank.java b/src/main/java/org/drip/sample/burgard2012/FixFloatVABank.java
@@ -9,7 +9,7 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.service.env.EnvManager;
 import org.drip.xva.cpty.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.AlbaneseAndersen;
@@ -203,7 +203,7 @@ public static final void VA (
 					0.
 				);
 
-			CollateralGroupPath[] aHGP = new CollateralGroupPath[] {new CollateralGroupPath (aHGVR)};
+			PositionGroupPath[] aHGP = new PositionGroupPath[] {new PositionGroupPath (aHGVR)};
 
 			aMPEA[i] = new MonoPathExposureAdjustment (
 				new AlbaneseAndersenNettingGroupPath[] {

diff --git a/src/main/java/org/drip/sample/burgard2012/FixFloatVACounterParty.java b/src/main/java/org/drip/sample/burgard2012/FixFloatVACounterParty.java
@@ -9,7 +9,7 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.service.env.EnvManager;
 import org.drip.xva.cpty.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.AlbaneseAndersen;
@@ -203,7 +203,7 @@ public static final void VA (
 					0.
 				);
 
-			CollateralGroupPath[] aHGP = new CollateralGroupPath[] {new CollateralGroupPath (aHGVR)};
+			PositionGroupPath[] aHGP = new PositionGroupPath[] {new PositionGroupPath (aHGVR)};
 
 			aMPEA[i] = new MonoPathExposureAdjustment (
 				new AlbaneseAndersenNettingGroupPath[] {

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFunding.java
@@ -13,7 +13,7 @@
 import org.drip.xva.cpty.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.BurgardKjaerBuilder;
@@ -267,8 +267,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				dblSwapNotional2
 			);
 
-			CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
-			CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV1 = new PositionGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV2 = new PositionGroupVertex[iNumStep + 1];
 
 			for (int j = 0; j <= iNumStep; ++j) {
 				if (0 != j) {
@@ -312,12 +312,12 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 			MarketPath mp = new MarketPath (aMV);
 
-			CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV1)
+			PositionGroupPath[] aCGP1 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV1)
 			};
 
-			CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV2)
+			PositionGroupPath[] aCGP2 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV2)
 			};
 
 			aMPEAGround[i] = new MonoPathExposureAdjustment (
@@ -348,9 +348,9 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				},
 				new AlbaneseAndersenFundingGroupPath[] {
 					new AlbaneseAndersenFundingGroupPath (
-						new CollateralGroupPath[] {
-							new CollateralGroupPath (aCGV1),
-							new CollateralGroupPath (aCGV2)
+						new PositionGroupPath[] {
+							new PositionGroupPath (aCGV1),
+							new PositionGroupPath (aCGV2)
 						},
 						mp
 					)

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFundingStochastic.java
@@ -15,7 +15,7 @@
 import org.drip.xva.cpty.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.BurgardKjaerBuilder;
@@ -523,8 +523,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 			);
 
 			MarketVertex[] aMV = new MarketVertex [iNumStep + 1];
-			CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
-			CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV1 = new PositionGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV2 = new PositionGroupVertex[iNumStep + 1];
 
 			for (int j = 0; j <= iNumStep; ++j) {
 				adtVertex[j] = dtSpot.addMonths (6 * j + 6);
@@ -604,8 +604,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 			MarketPath mp = new MarketPath (aMV);
 
-			CollateralGroupPath[] aHGPGround = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV1)
+			PositionGroupPath[] aHGPGround = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV1)
 			};
 
 			aMPEAGround[i] = new MonoPathExposureAdjustment (
@@ -623,9 +623,9 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				}
 			);
 
-			CollateralGroupPath[] aHGPExtended = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV1),
-				new CollateralGroupPath (aCGV2)
+			PositionGroupPath[] aHGPExtended = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV1),
+				new PositionGroupPath (aCGV2)
 			};
 
 			aMPEAExtended[i] = new MonoPathExposureAdjustment (

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFunding.java
@@ -13,7 +13,7 @@
 import org.drip.xva.cpty.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.BurgardKjaerBuilder;
@@ -269,8 +269,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				dblSwapNotional2
 			);
 
-			CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
-			CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV1 = new PositionGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV2 = new PositionGroupVertex[iNumStep + 1];
 
 			for (int j = 0; j <= iNumStep; ++j) {
 				aadblCollateralBalance[i][j] = 0.;
@@ -316,12 +316,12 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 			MarketPath np = new MarketPath (aMV);
 
-			CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV1)
+			PositionGroupPath[] aCGP1 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV1)
 			};
 
-			CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV2)
+			PositionGroupPath[] aCGP2 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV2)
 			};
 
 			aCPGPGround[i] = new MonoPathExposureAdjustment (
@@ -352,9 +352,9 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				},
 				new AlbaneseAndersenFundingGroupPath[] {
 					new AlbaneseAndersenFundingGroupPath (
-						new CollateralGroupPath[] {
-							new CollateralGroupPath (aCGV1),
-							new CollateralGroupPath (aCGV2)
+						new PositionGroupPath[] {
+							new PositionGroupPath (aCGV1),
+							new PositionGroupPath (aCGV2)
 						},
 						np
 					)

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFundingStochastic.java
@@ -15,7 +15,7 @@
 import org.drip.xva.cpty.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.BurgardKjaerBuilder;
@@ -526,8 +526,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 			);
 
 			MarketVertex[] aMV = new MarketVertex [iNumStep + 1];
-			CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
-			CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV1 = new PositionGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV2 = new PositionGroupVertex[iNumStep + 1];
 
 			for (int j = 0; j <= iNumStep; ++j) {
 				aMV[j] = MarketVertex.SingleManifestMeasure (
@@ -607,8 +607,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 			MarketPath np = new MarketPath (aMV);
 
-			CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV1)
+			PositionGroupPath[] aCGP1 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV1)
 			};
 
 			aCPGPGround[i] = new MonoPathExposureAdjustment (
@@ -626,8 +626,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				}
 			);
 
-			CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV2)
+			PositionGroupPath[] aCGP2 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV2)
 			};
 
 			aCPGPExtended[i] = new MonoPathExposureAdjustment (
@@ -643,9 +643,9 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				},
 				new AlbaneseAndersenFundingGroupPath[] {
 					new AlbaneseAndersenFundingGroupPath (
-						new CollateralGroupPath[] {
-							new CollateralGroupPath (aCGV1),
-							new CollateralGroupPath (aCGV2)
+						new PositionGroupPath[] {
+							new PositionGroupPath (aCGV1),
+							new PositionGroupPath (aCGV2)
 						},
 						np
 					)

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFunding.java
@@ -13,7 +13,7 @@
 import org.drip.xva.cpty.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.BurgardKjaerBuilder;
@@ -267,8 +267,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				dblSwapNotional2
 			);
 
-			CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
-			CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV1 = new PositionGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV2 = new PositionGroupVertex[iNumStep + 1];
 
 			for (int j = 0; j <= iNumStep; ++j) {
 				if (0 != j) {
@@ -312,12 +312,12 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 			MarketPath np = new MarketPath (aMV);
 
-			CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV1)
+			PositionGroupPath[] aCGP1 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV1)
 			};
 
-			CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV2)
+			PositionGroupPath[] aCGP2 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV2)
 			};
 
 			aCPGPGround[i] = new MonoPathExposureAdjustment (
@@ -348,9 +348,9 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				},
 				new AlbaneseAndersenFundingGroupPath[] {
 					new AlbaneseAndersenFundingGroupPath (
-						new CollateralGroupPath[] {
-							new CollateralGroupPath (aCGV1),
-							new CollateralGroupPath (aCGV2)
+						new PositionGroupPath[] {
+							new PositionGroupPath (aCGV1),
+							new PositionGroupPath (aCGV2)
 						},
 						np
 					)

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFundingStochastic.java
@@ -15,7 +15,7 @@
 import org.drip.xva.cpty.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
-import org.drip.xva.netting.CollateralGroupPath;
+import org.drip.xva.netting.PositionGroupPath;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 import org.drip.xva.vertex.BurgardKjaerBuilder;
@@ -523,8 +523,8 @@ private static final ExposureAdjustmentAggregator[] Mix (
 			);
 
 			MarketVertex[] aMV = new MarketVertex [iNumStep + 1];
-			CollateralGroupVertex[] aCGV1 = new CollateralGroupVertex[iNumStep + 1];
-			CollateralGroupVertex[] aCGV2 = new CollateralGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV1 = new PositionGroupVertex[iNumStep + 1];
+			PositionGroupVertex[] aCGV2 = new PositionGroupVertex[iNumStep + 1];
 
 			for (int j = 0; j <= iNumStep; ++j) {
 				adtVertex[j] = dtSpot.addMonths (6 * j + 6);
@@ -604,12 +604,12 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 			MarketPath np = new MarketPath (aMV);
 
-			CollateralGroupPath[] aCGP1 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV1)
+			PositionGroupPath[] aCGP1 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV1)
 			};
 
-			CollateralGroupPath[] aCGP2 = new CollateralGroupPath[] {
-				new CollateralGroupPath (aCGV2)
+			PositionGroupPath[] aCGP2 = new PositionGroupPath[] {
+				new PositionGroupPath (aCGV2)
 			};
 
 			aCPGPGround[i] = new MonoPathExposureAdjustment (
@@ -640,9 +640,9 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				},
 				new AlbaneseAndersenFundingGroupPath[] {
 					new AlbaneseAndersenFundingGroupPath (
-						new CollateralGroupPath[] {
-							new CollateralGroupPath (aCGV1),
-							new CollateralGroupPath (aCGV2)
+						new PositionGroupPath[] {
+							new PositionGroupPath (aCGV1),
+							new PositionGroupPath (aCGV2)
 						},
 						np
 					)