Features:

- Collateral Group Measures Calculation Scan (1) - XVA Definition Close Out General (2) - Netting Group Specification - Standard Instance (3, 4) - Position Credit Debt Group Specification (5, 6) - Credit Debt Position Segment Paths (7, 8) - Collateral Group Specification - Broken Date #1 (13, 14) - Collateral Group Specification - Broken Date #2 (15, 16) - Collateral Group Specification - Broken Date #3 (17, 18) - Collateral Group Specification - Broken Date #4 (19, 20) - XVA Set Adjustment Digest Scheme (21, 22) - Collateral Group Specification - Adjustment Digest #1 (23, 24) - Collateral Group Specification - Adjustment Digest #2 (25, 26) - Collateral Group Position Replication #1 (27, 28) - Collateral Group Position Replication #2 (29, 30) - Collateral Group Position Replication #3 (31, 32) - Collateral Group Hedge Error #1 (33, 34) - Collateral Group Hedge Error #2 (35, 36) - Collateral Group Hedge Error #3 (37, 38) - Collateral Group Close Out #1 (39, 40) - Collateral Group Close Out #2 (41, 42) - Collateral Group Close Out #3 (43, 44) Bug Fixes/Clean-up: - Funding Segment Paths Bug Fix (9) - Correlated Path Vertex Dimension Eliminate (10) - XVA Settings Package Creation/Migration (11, 12) - Trim XVA Basel Adjustment Digest (45, 46, 47) Samples:
lakshmiDRIP · Feb 26, 2018 · 2183098 · 2183098
1 parent 45e02a2
commit 2183098
Show file tree

Hide file tree

Showing 107 changed files with 627 additions and 187 deletions.
diff --git a/ReleaseNotes/03_07_2018.txt b/ReleaseNotes/03_07_2018.txt
@@ -0,0 +1,35 @@
+
+Features:
+
+	- Collateral Group Measures Calculation Scan (1)
+	- XVA Definition Close Out General (2)
+	- Netting Group Specification - Standard Instance (3, 4)
+	- Position Credit Debt Group Specification (5, 6)
+	- Credit Debt Position Segment Paths (7, 8)
+	- Collateral Group Specification - Broken Date #1 (13, 14)
+	- Collateral Group Specification - Broken Date #2 (15, 16)
+	- Collateral Group Specification - Broken Date #3 (17, 18)
+	- Collateral Group Specification - Broken Date #4 (19, 20)
+	- XVA Set Adjustment Digest Scheme (21, 22)
+	- Collateral Group Specification - Adjustment Digest #1 (23, 24)
+	- Collateral Group Specification - Adjustment Digest #2 (25, 26)
+	- Collateral Group Position Replication #1 (27, 28)
+	- Collateral Group Position Replication #2 (29, 30)
+	- Collateral Group Position Replication #3 (31, 32)
+	- Collateral Group Hedge Error #1 (33, 34)
+	- Collateral Group Hedge Error #2 (35, 36)
+	- Collateral Group Hedge Error #3 (37, 38)
+	- Collateral Group Close Out #1 (39, 40)
+	- Collateral Group Close Out #2 (41, 42)
+	- Collateral Group Close Out #3 (43, 44)
+
+
+Bug Fixes/Clean-up:
+
+	- Funding Segment Paths Bug Fix (9)
+	- Correlated Path Vertex Dimension Eliminate (10)
+	- XVA Settings Package Creation/Migration (11, 12)
+	- Trim XVA Basel Adjustment Digest (45, 46, 47)
+
+
+Samples:
diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java
@@ -136,7 +136,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblDerivativeXVAValueFinish = dblDerivativeXVAValueStart + dblTheta * dblTimeWidth;
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			mvStart.bank().seniorRecoveryRate(),
 			mvStart.counterParty().seniorRecoveryRate()
 		);

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java
@@ -138,7 +138,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblDerivativeXVAValueFinish = dblDerivativeXVAValueStart + dblTheta * dblTimeWidth;
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			mvStart.bank().seniorRecoveryRate(),
 			mvStart.counterParty().seniorRecoveryRate()
 		);

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java
@@ -138,7 +138,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblDerivativeXVAValueFinish = dblDerivativeXVAValueStart + dblTheta * dblTimeWidth;
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			mvStart.bank().seniorRecoveryRate(),
 			mvStart.counterParty().seniorRecoveryRate()
 		);

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java
@@ -137,7 +137,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblDerivativeXVAValueFinish = dblDerivativeXVAValueStart + dblTheta * dblTimeWidth;
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			mvStart.bank().seniorRecoveryRate(),
 			mvStart.counterParty().seniorRecoveryRate()
 		);

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAExplain.java b/src/main/java/org/drip/sample/burgard2011/XVAExplain.java
@@ -137,7 +137,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblDerivativeXVAValueFinish = dblDerivativeXVAValueStart + dblTheta * dblTimeWidth;
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			mvStart.bank().seniorRecoveryRate(),
 			mvStart.counterParty().seniorRecoveryRate()
 		);

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java
@@ -137,7 +137,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblDerivativeXVAValueFinish = dblDerivativeXVAValueStart + dblTheta * dblTimeWidth;
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			mvStart.bank().seniorRecoveryRate(),
 			mvStart.counterParty().seniorRecoveryRate()
 		);

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAReplicationPortfolio.java b/src/main/java/org/drip/sample/burgard2011/XVAReplicationPortfolio.java
@@ -137,7 +137,7 @@ private static final EvolutionTrajectoryVertex RunStep (
 
 		double dblDerivativeXVAValueFinish = dblDerivativeXVAValueStart + dblTheta * dblTimeWidth;
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			mvStart.bank().seniorRecoveryRate(),
 			mvStart.counterParty().seniorRecoveryRate()
 		);

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFunding.java
@@ -200,7 +200,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
 		double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSACollateralizedFundingStochastic.java
@@ -527,7 +527,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 			for (int j = 0; j <= iNumStep; ++j) {
 				adtVertex[j] = dtSpot.addMonths (6 * j + 6);
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFunding.java
@@ -202,7 +202,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
 		double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAUncollateralizedFundingStochastic.java
@@ -559,7 +559,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 				aadblCollateralBalance[i][j] = 0.;
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFunding.java
@@ -200,7 +200,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
 		double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/BilateralCSAZeroThresholdFundingStochastic.java
@@ -527,7 +527,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 			for (int j = 0; j <= iNumStep; ++j) {
 				adtVertex[j] = dtSpot.addMonths (6 * j + 6);
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFunding.java
@@ -15,6 +15,7 @@
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
 import org.drip.xva.set.*;
+import org.drip.xva.settings.*;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 
@@ -207,10 +208,14 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		CollateralGroupSpecification cgs = CollateralGroupSpecification.FixedThreshold (
 			"FIXEDTHRESHOLD",
 			dblCounterPartyThreshold,
-			dblBankThreshold
+			dblBankThreshold,
+			PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
+			BrokenDateScheme.LINEAR_TIME,
+			0.,
+			null
 		);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/...n/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java b/...n/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java
@@ -17,6 +17,7 @@
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
 import org.drip.xva.set.*;
+import org.drip.xva.settings.*;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 
@@ -318,7 +319,11 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		CollateralGroupSpecification cgs = CollateralGroupSpecification.FixedThreshold (
 			"FIXEDTHRESHOLD",
 			dblCounterPartyThreshold,
-			dblBankThreshold
+			dblBankThreshold,
+			PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
+			BrokenDateScheme.LINEAR_TIME,
+			0.,
+			null
 		);
 
 		JulianDate dtSpot = DateUtil.Today();
@@ -545,7 +550,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				double dblValueEnd1 = aadblPortfolio1Value[i][j];
 				double dblValueEnd2 = aadblPortfolio2Value[i][j];
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationUncollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationUncollateralizedFunding.java
@@ -202,7 +202,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
 		double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/...java/org/drip/sample/burgard2013/PerfectReplicationUncollateralizedFundingStochastic.java b/...java/org/drip/sample/burgard2013/PerfectReplicationUncollateralizedFundingStochastic.java
@@ -559,7 +559,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 				aadblCollateralBalance[i][j] = 0.;
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFunding.java
@@ -15,6 +15,7 @@
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
 import org.drip.xva.set.*;
+import org.drip.xva.settings.*;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 
@@ -207,10 +208,14 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		CollateralGroupSpecification cgs = CollateralGroupSpecification.FixedThreshold (
 			"FIXEDTHRESHOLD",
 			dblCounterPartyThreshold,
-			dblBankThreshold
+			dblBankThreshold,
+			PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
+			BrokenDateScheme.LINEAR_TIME,
+			0.,
+			null
 		);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/...in/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java b/...in/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java
@@ -17,6 +17,7 @@
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
 import org.drip.xva.set.*;
+import org.drip.xva.settings.*;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 
@@ -318,7 +319,11 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		CollateralGroupSpecification cgs = CollateralGroupSpecification.FixedThreshold (
 			"FIXEDTHRESHOLD",
 			dblCounterPartyThreshold,
-			dblBankThreshold
+			dblBankThreshold,
+			PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
+			BrokenDateScheme.LINEAR_TIME,
+			0.,
+			null
 		);
 
 		JulianDate dtSpot = DateUtil.Today();
@@ -545,7 +550,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				double dblValueEnd1 = aadblPortfolio1Value[i][j];
 				double dblValueEnd2 = aadblPortfolio2Value[i][j];
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFunding.java
@@ -15,6 +15,7 @@
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
 import org.drip.xva.set.*;
+import org.drip.xva.settings.*;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 
@@ -207,10 +208,14 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		CollateralGroupSpecification cgs = CollateralGroupSpecification.FixedThreshold (
 			"FIXEDTHRESHOLD",
 			dblCounterPartyThreshold,
-			dblBankThreshold
+			dblBankThreshold,
+			PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
+			BrokenDateScheme.LINEAR_TIME,
+			0.,
+			null
 		);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/...main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java b/...main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java
@@ -17,6 +17,7 @@
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
 import org.drip.xva.set.*;
+import org.drip.xva.settings.*;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 
@@ -318,7 +319,11 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		CollateralGroupSpecification cgs = CollateralGroupSpecification.FixedThreshold (
 			"FIXEDTHRESHOLD",
 			dblCounterPartyThreshold,
-			dblBankThreshold
+			dblBankThreshold,
+			PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
+			BrokenDateScheme.LINEAR_TIME,
+			0.,
+			null
 		);
 
 		JulianDate dtSpot = DateUtil.Today();
@@ -545,7 +550,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 				double dblValueEnd1 = aadblPortfolio1Value[i][j];
 				double dblValueEnd2 = aadblPortfolio2Value[i][j];
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationUncollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationUncollateralizedFunding.java
@@ -202,7 +202,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		double dblBankSubordinateFundingSpread = dblBankHazardRate / (1. - dblBankSubordinateRecoveryRate);
 		double dblCounterPartyFundingSpread = dblCounterPartyHazardRate / (1. - dblCounterPartyRecoveryRate);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);

diff --git a/...in/java/org/drip/sample/burgard2013/SemiReplicationUncollateralizedFundingStochastic.java b/...in/java/org/drip/sample/burgard2013/SemiReplicationUncollateralizedFundingStochastic.java
@@ -559,7 +559,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
 				aadblCollateralBalance[i][j] = 0.;
 
-				CloseOutGeneral cog = new CloseOutBilateral (
+				CloseOut cog = new CloseOutBilateral (
 					adblBankSeniorRecoveryRate[j],
 					adblCounterPartyRecoveryRate[j]
 				);

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFunding.java
@@ -15,6 +15,7 @@
 import org.drip.xva.definition.*;
 import org.drip.xva.hypothecation.*;
 import org.drip.xva.set.*;
+import org.drip.xva.settings.*;
 import org.drip.xva.strategy.*;
 import org.drip.xva.universe.*;
 
@@ -207,10 +208,14 @@ private static final ExposureAdjustmentAggregator[] Mix (
 		CollateralGroupSpecification cgs = CollateralGroupSpecification.FixedThreshold (
 			"FIXEDTHRESHOLD",
 			dblCounterPartyThreshold,
-			dblBankThreshold
+			dblBankThreshold,
+			PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
+			BrokenDateScheme.LINEAR_TIME,
+			0.,
+			null
 		);
 
-		CloseOutGeneral cog = new CloseOutBilateral (
+		CloseOut cog = new CloseOutBilateral (
 			dblBankSeniorRecoveryRate,
 			dblCounterPartyRecoveryRate
 		);