Features:

- Entity Default Window Re-work #1 (7, 8) - Entity Default Window Re-work #2 (9, 10) - Bank Counter Party Default Window (11) - Collateral Group Specification - Constructor Enhancement (12, 13) Bug Fixes/Clean-up: - Counter Party Group Specification #1 (1, 2) - Counter Party Group Specification #2 (3, 4) - Counter Party Group Specification #3 (5, 6) - Eliminate Entity Default Window #1 (14, 15) - Eliminate Entity Default Window #2 (16, 17) Samples: - XVA Digest Default Window (18) - XVA Entity Default Window (19) - Burgard 2013 Default Window (20, 21, 22) - XVA Basel Default Window #1 (23, 24) - XVA Basel Default Window #2 (25, 26) - XVA Basel Default Window #3 (27, 28, 29)
lakshmiDRIP · Feb 25, 2018 · 45e02a2 · 45e02a2
1 parent d8e9cd0
commit 45e02a2
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diff --git a/ReleaseNotes/03_06_2018.txt b/ReleaseNotes/03_06_2018.txt
@@ -0,0 +1,26 @@
+
+Features:
+
+ - Entity Default Window Re-work #1 (7, 8)
+ - Entity Default Window Re-work #2 (9, 10)
+ - Bank Counter Party Default Window (11)
+ - Collateral Group Specification - Constructor Enhancement (12, 13)
+
+
+Bug Fixes/Clean-up:
+
+ - Counter Party Group Specification #1 (1, 2)
+ - Counter Party Group Specification #2 (3, 4)
+ - Counter Party Group Specification #3 (5, 6)
+ - Eliminate Entity Default Window #1 (14, 15)
+ - Eliminate Entity Default Window #2 (16, 17)
+
+
+Samples:
+
+ - XVA Digest Default Window (18)
+ - XVA Entity Default Window (19)
+ - Burgard 2013 Default Window (20, 21, 22)
+ - XVA Basel Default Window #1 (23, 24)
+ - XVA Basel Default Window #2 (25, 26)
+ - XVA Basel Default Window #3 (27, 28, 29)
diff --git a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFunding.java
@@ -210,8 +210,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  CloseOutGeneral cog = new CloseOutBilateral (
  dblBankSeniorRecoveryRate,
  dblCounterPartyRecoveryRate
@@ -293,7 +291,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -307,7 +304,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/...n/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java b/...n/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java
@@ -321,8 +321,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  JulianDate dtSpot = DateUtil.Today();
 
  double dblTimeWidth = dblTime / iNumStep;
@@ -584,7 +582,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -598,7 +595,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFunding.java
@@ -210,8 +210,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  CloseOutGeneral cog = new CloseOutBilateral (
  dblBankSeniorRecoveryRate,
  dblCounterPartyRecoveryRate
@@ -293,7 +291,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator cae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -307,7 +304,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator cae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/...in/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java b/...in/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java
@@ -321,8 +321,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  JulianDate dtSpot = DateUtil.Today();
 
  double dblTimeWidth = dblTime / iNumStep;
@@ -584,7 +582,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator cae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -598,7 +595,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator cae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFunding.java
@@ -210,8 +210,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  CloseOutGeneral cog = new CloseOutBilateral (
  dblBankSeniorRecoveryRate,
  dblCounterPartyRecoveryRate
@@ -293,7 +291,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -307,7 +304,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/...main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java b/...main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java
@@ -321,8 +321,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  JulianDate dtSpot = DateUtil.Today();
 
  double dblTimeWidth = dblTime / iNumStep;
@@ -584,7 +582,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -598,7 +595,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFunding.java
@@ -210,8 +210,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  CloseOutGeneral cog = new CloseOutBilateral (
  dblBankSeniorRecoveryRate,
  dblCounterPartyRecoveryRate
@@ -293,7 +291,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator cae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -307,7 +304,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator cae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFundingStochastic.java
@@ -321,8 +321,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  JulianDate dtSpot = DateUtil.Today();
 
  double dblTimeWidth = dblTime / iNumStep;
@@ -584,7 +582,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator cae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -598,7 +595,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator cae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFunding.java
@@ -209,8 +209,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  CloseOutGeneral cog = new CloseOutBilateral (
  dblBankSeniorRecoveryRate,
  dblCounterPartyRecoveryRate
@@ -292,7 +290,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -306,7 +303,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFundingStochastic.java
@@ -321,8 +321,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  JulianDate dtSpot = DateUtil.Today();
 
  double dblTimeWidth = dblTime / iNumStep;
@@ -584,7 +582,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator hae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -598,7 +595,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator hae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFunding.java
@@ -209,8 +209,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  CloseOutGeneral cog = new CloseOutBilateral (
  dblBankSeniorRecoveryRate,
  dblCounterPartyRecoveryRate
@@ -292,7 +290,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator cae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -306,7 +303,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator cae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFundingStochastic.java
@@ -321,8 +321,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  JulianDate dtSpot = DateUtil.Today();
 
  double dblTimeWidth = dblTime / iNumStep;
@@ -584,7 +582,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
  if (0 != j) {
  CollateralAmountEstimator cae1 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),
@@ -598,7 +595,6 @@ private static final ExposureAdjustmentAggregator[] Mix (
 
  CollateralAmountEstimator cae2 = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroup.java b/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroup.java
@@ -211,8 +211,6 @@ public static final void main (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  double[][] aadblSwapPortfolioValueRealization = SwapPortfolioValueRealization (
  new DiffusionEvolver (
  DiffusionEvaluatorLinear.Standard (
@@ -273,7 +271,6 @@ public static final void main (
  if (0 != j) {
  CollateralAmountEstimator hae = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroupCorrelated.java b/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroupCorrelated.java
@@ -283,8 +283,6 @@ public static final void main (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  double dblTimeWidth = dblTime / iNumStep;
  JulianDate[] adtVertex = new JulianDate[iNumStep + 1];
  double[][] aadblPortfolioValue = new double[iNumPath][iNumStep + 1];
@@ -490,7 +488,6 @@ public static final void main (
  if (0 != j) {
  CollateralAmountEstimator cae = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/xva/PortfolioCollateralEstimate.java b/src/main/java/org/drip/sample/xva/PortfolioCollateralEstimate.java
@@ -110,8 +110,6 @@ public static final void main (
  dblBankThreshold
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  DiffusionEvolver dePortfolio = new DiffusionEvolver (
  DiffusionEvaluatorLinear.Standard (
  dblPortfolioDrift,
@@ -174,7 +172,6 @@ public static final void main (
 
  CollateralAmountEstimator hae = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),

diff --git a/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroup.java b/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroup.java
@@ -209,8 +209,6 @@ public static final void main (
  0.
  );
 
- CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP");
-
  double[][] aadblSwapPortfolioValueRealization = SwapPortfolioValueRealization (
  new DiffusionEvolver (
  DiffusionEvaluatorLinear.Standard (
@@ -271,7 +269,6 @@ public static final void main (
  if (0 != j) {
  CollateralAmountEstimator hae = new CollateralAmountEstimator (
  cgs,
- cpgs,
  new BrokenDateInterpolatorLinearT (
  dtStart.julian(),
  dtEnd.julian(),