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DROP Analytics

DROP Analytics contains Date, Cash Flow, and Cash Flow Period Measure Generation Utilities.

Component Packages

  • Cash Flow DROP Analytics Cash-flow Package implements the Unit/Composite Cash Flow Periods.

  • Date DROP Analytics Date Package implements Date/Time Creation/Manipulation/Usage Functionality.

  • Day Count DROP Analytics Day Count Package implements Date/Time Creation/Manipulation/Usage Functionality.

  • Definition DROP Analytics Definition Package defines the Latent State Curves, Surfaces, and Turns.

  • Event Day DROP Analytics Event Day Package contains Event Day Creators - i.e., Fixed/Variable Custom Holiday Creation.

  • Holiday Set DROP Analytics Holiday Set Package holds the Built in Locale Holiday Set.

  • Input DROP Analytics Input Package contains the Curve Surface Construction Customization Inputs.

  • Output DROP Analytics Output Package holds the Period Product Targeted Valuation Measures.

  • Support DROP Analytics Support Package contains Assorted Support and Helper Utilities.

References

  • Burgard, C., and M. Kjaer (2013): Funding Strategies, Funding Costs Risk 24 (12) 82-87

  • Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19

  • Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75

  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90

  • Fenton, D. (2001): Julian to Calendar Date Conversion http://mathforum.org/library/drmath/view/51907.html

  • Fliegel, H. F., and T. C. van Flandern (1968): A Machine Algorithm for Processing Calendar Dates Communications of the ACM 11 657

  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

DROP Specifications