diff --git a/ReleaseNotes/03_06_2018.txt b/ReleaseNotes/03_06_2018.txt new file mode 100644 index 000000000000..3ce07f78ab02 --- /dev/null +++ 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 index b9db07c4b70c..acf980b67f58 100644 --- 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/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java index 87f102b8f9b4..16645e2f95bf 100644 --- a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java +++ b/src/main/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 index cae85d91bcb9..9e15fba6c726 100644 --- 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/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java index f89d49bb0436..854b55ff9f93 100644 --- a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java +++ b/src/main/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 index d749f684ce06..cdf4d963ae95 100644 --- 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/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java index c0d7d4c3f2c3..a5f8585e8d38 100644 --- a/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java +++ b/src/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 index efc4232e1472..41834adfaa90 100644 --- 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 index 3b5f0794d3f4..f75eb3a3c136 100644 --- 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 index decd706039cb..2ebfc50e6da7 100644 --- 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 index e132211c09d6..448cb72454cd 100644 --- 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 index eeed0f020ad6..b355fa79201d 100644 --- 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 index dc2c8f942b8f..42066f7cd319 100644 --- 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 index cf2ff902f73f..09ee76ccd5e1 100644 --- 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 index 602613e2fadd..ad87c71c536b 100644 --- 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 index a7e2af80b0c8..22a840aa8b8d 100644 --- 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 index ae6b4d1219e2..c8a450cb673f 100644 --- 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(), diff --git a/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroupCorrelated.java b/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroupCorrelated.java index 7cacc82fb7d2..5c511dee0508 100644 --- a/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroupCorrelated.java +++ b/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroupCorrelated.java @@ -281,8 +281,6 @@ public static final void main ( 0. ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - double dblTimeWidth = dblTime / iNumStep; JulianDate[] adtVertex = new JulianDate[iNumStep + 1]; double[][] aadblPortfolioValue = new double[iNumPath][iNumStep + 1]; @@ -485,7 +483,6 @@ 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/xvabasel/CollateralizedCollateralNeutral.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutral.java index 83aa004feb14..e118e5918a31 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutral.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutral.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hea1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( CollateralAmountEstimator hea2 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutralStochastic.java index bc124a0559fa..9d47f50f7a60 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutralStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutralStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedCollateralPayable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayable.java index 4e59c4b2fec7..426095ede12e 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayable.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedCollateralPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayableStochastic.java index 05a0f8165bf2..17874c398677 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedCollateralReceivable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivable.java index d6060219021b..103f7fb9caa0 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivable.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedCollateralReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivableStochastic.java index 80e9e895bc3d..98ce4ae480fe 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedFundingNeutral.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutral.java index fee86d23d842..877aa1467c80 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutral.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutral.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedFundingNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutralStochastic.java index 5856f2b9bc84..c298790a6ffb 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutralStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutralStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedFundingPayable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayable.java index 3a6f8835566b..0a04dfb258d4 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayable.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedFundingPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayableStochastic.java index 2353804b32cf..2e129c95c6a2 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedFundingReceivable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivable.java index fa8553995a5f..7c760a68ff01 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivable.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedFundingReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivableStochastic.java index ee65a53d8af0..4bbab499f604 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator hae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedNettingNeutral.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutral.java index 72cecfd9d90e..78a470106c90 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutral.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutral.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedNettingNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutralStochastic.java index 7c82a54b7250..4041a00d4da0 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutralStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutralStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedNettingPayable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayable.java index cf40fa67f834..a9063359a544 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayable.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedNettingPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayableStochastic.java index 060f7fe82427..3442c3a28076 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/CollateralizedNettingReceivable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivable.java index ec92f80aa4ee..013ea1503273 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivable.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/CollateralizedNettingReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivableStochastic.java index f4a643d892fd..9019f3f19fdf 100644 --- a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/ZeroThresholdCollateralNeutral.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutral.java index f26e458a82be..6c4601437473 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutral.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutral.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdCollateralNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutralStochastic.java index f9463149f2b3..5f6794c483ba 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutralStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutralStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/ZeroThresholdCollateralPayable.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayable.java index bace5e44d900..f79f177ab173 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayable.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdCollateralPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayableStochastic.java index a100e4a17b93..f94d359560e5 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/ZeroThresholdCollateralReceivable.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralReceivable.java index 3d9810174cf1..337d8a9b7a31 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralReceivable.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralReceivable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdCollateralReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralReceivableStochastic.java index d03f7964130b..3579083d19aa 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralReceivableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralReceivableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/ZeroThresholdFundingNeutral.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingNeutral.java index 6f5035b570c6..61fbdffe88ab 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingNeutral.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingNeutral.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdFundingNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingNeutralStochastic.java index 272f0dbea2c9..f9597f2b2e74 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingNeutralStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingNeutralStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/ZeroThresholdFundingPayable.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingPayable.java index 6c2f9357f164..eee8fa49b706 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingPayable.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingPayable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdFundingPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingPayableStochastic.java index 0fd23240eba9..a5c51f0e0746 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingPayableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingPayableStochastic.java @@ -313,8 +313,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -509,7 +507,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -523,7 +520,6 @@ 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/xvabasel/ZeroThresholdFundingReceivable.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingReceivable.java index be6333a77fcf..800a5994eec2 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingReceivable.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingReceivable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdFundingReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingReceivableStochastic.java index 08fedc4e4f16..3abcdb262f03 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingReceivableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdFundingReceivableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/ZeroThresholdNettingNeutral.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingNeutral.java index c90c2856b197..273e269c2f59 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingNeutral.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingNeutral.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdNettingNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingNeutralStochastic.java index 4d1594fa8fb6..7ed1e6f1247e 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingNeutralStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingNeutralStochastic.java @@ -313,8 +313,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -509,7 +507,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -523,7 +520,6 @@ 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/xvabasel/ZeroThresholdNettingPayable.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingPayable.java index 484a091b10bf..6d15bca9683b 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingPayable.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingPayable.java @@ -206,8 +206,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -284,7 +282,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -298,7 +295,6 @@ 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/xvabasel/ZeroThresholdNettingPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingPayableStochastic.java index 1c44cd520e9c..4f197e02df93 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingPayableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingPayableStochastic.java @@ -312,8 +312,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -508,7 +506,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -522,7 +519,6 @@ 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/xvabasel/ZeroThresholdNettingReceivable.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingReceivable.java index 3f80fd6a6b5c..772a494dc4bb 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingReceivable.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingReceivable.java @@ -207,8 +207,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( dblATMSwapRateOffsetDrift, @@ -285,7 +283,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -299,7 +296,6 @@ 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/xvabasel/ZeroThresholdNettingReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingReceivableStochastic.java index 45292f991432..96643cc035f1 100644 --- a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingReceivableStochastic.java +++ b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdNettingReceivableStochastic.java @@ -311,8 +311,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - JulianDate dtSpot = DateUtil.Today(); double dblTimeWidth = dblTime / iNumStep; @@ -507,7 +505,6 @@ private static final ExposureAdjustmentAggregator[] Mix ( if (0 != j) { CollateralAmountEstimator cae1 = new CollateralAmountEstimator ( cgs, - cpgs, new BrokenDateInterpolatorLinearT ( dtStart.julian(), dtEnd.julian(), @@ -521,7 +518,6 @@ 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/xvadigest/CPGACollateralized.java b/src/main/java/org/drip/sample/xvadigest/CPGACollateralized.java index 56a2c232e53e..62caf0f84c73 100644 --- a/src/main/java/org/drip/sample/xvadigest/CPGACollateralized.java +++ b/src/main/java/org/drip/sample/xvadigest/CPGACollateralized.java @@ -278,8 +278,6 @@ public static final void main ( dblBankThreshold ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - double[][] aadblSwapPortfolioValueRealization = SwapPortfolioValueRealization ( new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( @@ -340,7 +338,6 @@ 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/xvadigest/CPGACollateralizedCorrelated.java b/src/main/java/org/drip/sample/xvadigest/CPGACollateralizedCorrelated.java index 64528901e954..b2823be51fd3 100644 --- a/src/main/java/org/drip/sample/xvadigest/CPGACollateralizedCorrelated.java +++ b/src/main/java/org/drip/sample/xvadigest/CPGACollateralizedCorrelated.java @@ -350,8 +350,6 @@ 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]; @@ -557,7 +555,6 @@ 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/xvadigest/CPGAZeroThreshold.java b/src/main/java/org/drip/sample/xvadigest/CPGAZeroThreshold.java index 73a8ffb21c14..c4a054f296a0 100644 --- a/src/main/java/org/drip/sample/xvadigest/CPGAZeroThreshold.java +++ b/src/main/java/org/drip/sample/xvadigest/CPGAZeroThreshold.java @@ -276,8 +276,6 @@ public static final void main ( 0. ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - double[][] aadblSwapPortfolioValueRealization = SwapPortfolioValueRealization ( new DiffusionEvolver ( DiffusionEvaluatorLinear.Standard ( @@ -338,7 +336,6 @@ 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/xvadigest/CPGAZeroThresholdCorrelated.java b/src/main/java/org/drip/sample/xvadigest/CPGAZeroThresholdCorrelated.java index 847b848ddfa1..98ca4872ee80 100644 --- a/src/main/java/org/drip/sample/xvadigest/CPGAZeroThresholdCorrelated.java +++ b/src/main/java/org/drip/sample/xvadigest/CPGAZeroThresholdCorrelated.java @@ -348,8 +348,6 @@ public static final void main ( 0. ); - CounterPartyGroupSpecification cpgs = CounterPartyGroupSpecification.Standard ("CPGROUP"); - double dblTimeWidth = dblTime / iNumStep; JulianDate[] adtVertex = new JulianDate[iNumStep + 1]; double[][] aadblPortfolioValue = new double[iNumPath][iNumStep + 1]; @@ -552,7 +550,6 @@ 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/xvafixfloat/AlbaneseAndersenBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java index 03a0665443d5..054d04a936ad 100644 --- a/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java +++ b/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java @@ -462,7 +462,6 @@ public static final void main ( dblCounterPartyThreshold, dblBankThreshold ), - CounterPartyGroupSpecification.Standard ("CPGROUP"), new NettingGroupSpecification ( "NETGRPSPEC1", "NETGRPSPEC1", diff --git a/src/main/java/org/drip/xva/dynamics/PathSimulator.java b/src/main/java/org/drip/xva/dynamics/PathSimulator.java index f5427ecb3df8..7f47f63bc43c 100644 --- a/src/main/java/org/drip/xva/dynamics/PathSimulator.java +++ b/src/main/java/org/drip/xva/dynamics/PathSimulator.java @@ -169,7 +169,6 @@ private double collateralBalance ( return null == brokenDateInterpolator ? 0. : new org.drip.xva.hypothecation.CollateralAmountEstimator (positionGroupSpecification.collateralGroupSpecification(), - positionGroupSpecification.counterPartyGroupSpecification(), brokenDateInterpolator ( marketVertexArray, positionGroupValueArray, diff --git a/src/main/java/org/drip/xva/hypothecation/CollateralAmountEstimator.java b/src/main/java/org/drip/xva/hypothecation/CollateralAmountEstimator.java index 1b20b89c542c..8b3d9bc77ef5 100644 --- a/src/main/java/org/drip/xva/hypothecation/CollateralAmountEstimator.java +++ b/src/main/java/org/drip/xva/hypothecation/CollateralAmountEstimator.java @@ -73,13 +73,11 @@ public class CollateralAmountEstimator private double _currentBalance = java.lang.Double.NaN; private org.drip.measure.bridge.BrokenDateInterpolator _brokenDateInterpolator = null; private org.drip.xva.set.CollateralGroupSpecification _collateralGroupSpecification = null; - private org.drip.xva.set.CounterPartyGroupSpecification _counterPartyGroupSpecification = null; /** * CollateralAmountEstimator Constructor * * @param collateralGroupSpecification The Collateral Group Specification - * @param counterPartyGroupSpecification The Counter Party Group Specification * @param brokenDateInterpolator The Stochastic Value Broken Date Bridge Estimator * @param currentBalance The Current Collateral Balance * @@ -88,13 +86,11 @@ public class CollateralAmountEstimator public CollateralAmountEstimator ( final org.drip.xva.set.CollateralGroupSpecification collateralGroupSpecification, - final org.drip.xva.set.CounterPartyGroupSpecification counterPartyGroupSpecification, final org.drip.measure.bridge.BrokenDateInterpolator brokenDateInterpolator, final double currentBalance) throws java.lang.Exception { if (null == (_collateralGroupSpecification = collateralGroupSpecification) || - null == (_counterPartyGroupSpecification = counterPartyGroupSpecification) || null == (_brokenDateInterpolator = brokenDateInterpolator)) { throw new java.lang.Exception ("CollateralAmountEstimator Constructor => Invalid Inputs"); @@ -114,17 +110,6 @@ public org.drip.xva.set.CollateralGroupSpecification collateralGroupSpecificatio return _collateralGroupSpecification; } - /** - * Retrieve the Counter Party Group Specification - * - * @return The Counter Party Group Specification - */ - - public org.drip.xva.set.CounterPartyGroupSpecification counterPartyGroupSpecification() - { - return _counterPartyGroupSpecification; - } - /** * Retrieve the Stochastic Value Broken Date Bridge Estimator * @@ -165,7 +150,8 @@ public double bankWindowMarginValue ( throw new java.lang.Exception ("CollateralAmountEstimator::bankWindowMarginValue => Invalid Inputs"); - org.drip.analytics.date.JulianDate dtMargin = valuationDateJulian.subtractDays (_counterPartyGroupSpecification.bankDefaultWindow()); + org.drip.analytics.date.JulianDate dtMargin = valuationDateJulian.subtractDays + (_collateralGroupSpecification.bankDefaultWindow()); if (null == dtMargin) throw new java.lang.Exception @@ -231,7 +217,7 @@ public double counterPartyWindowMarginValue ( ("CollateralAmountEstimator::counterPartyWindowMarginValue => Invalid Inputs"); org.drip.analytics.date.JulianDate dtMargin = valuationDateJulian.subtractDays - (_counterPartyGroupSpecification.counterPartyDefaultWindow()); + (_collateralGroupSpecification.counterPartyDefaultWindow()); if (null == dtMargin) throw new java.lang.Exception @@ -254,10 +240,11 @@ public double counterPartyThreshold ( final org.drip.analytics.date.JulianDate valuationDateJulian) throws java.lang.Exception { - org.drip.function.definition.R1ToR1[] counterPartyThresholdFunctionArray = _collateralGroupSpecification.counterPartyThreshold(); + org.drip.function.definition.R1ToR1[] counterPartyThresholdFunctionArray = + _collateralGroupSpecification.counterPartyThreshold(); - return null == counterPartyThresholdFunctionArray || null == counterPartyThresholdFunctionArray[0] ? 0. : - counterPartyThresholdFunctionArray[0].evaluate (valuationDateJulian.julian()); + return null == counterPartyThresholdFunctionArray || null == counterPartyThresholdFunctionArray[0] ? + 0. : counterPartyThresholdFunctionArray[0].evaluate (valuationDateJulian.julian()); } /** @@ -315,10 +302,10 @@ public org.drip.xva.hypothecation.CollateralAmountEstimatorOutput output ( } org.drip.analytics.date.JulianDate bankMarginDate = valuationDateJulian.subtractDays - (_counterPartyGroupSpecification.bankDefaultWindow()); + (_collateralGroupSpecification.bankDefaultWindow()); org.drip.analytics.date.JulianDate counterPartyMarginDate = valuationDateJulian.subtractDays - (_counterPartyGroupSpecification.counterPartyDefaultWindow()); + (_collateralGroupSpecification.counterPartyDefaultWindow()); if (null == bankMarginDate || null == counterPartyMarginDate) diff --git a/src/main/java/org/drip/xva/set/CollateralGroupSpecification.java b/src/main/java/org/drip/xva/set/CollateralGroupSpecification.java index d035d250ab37..4753c42d0284 100644 --- a/src/main/java/org/drip/xva/set/CollateralGroupSpecification.java +++ b/src/main/java/org/drip/xva/set/CollateralGroupSpecification.java @@ -69,6 +69,8 @@ public class CollateralGroupSpecification extends org.drip.xva.set.RollUpGroupSpecification { + private int _bankDefaultWindow = -1; + private int _counterPartyDefaultWindow = -1; private double _independentAmount = java.lang.Double.NaN; private double _minimumTransferAmount = java.lang.Double.NaN; private org.drip.function.definition.R1ToR1 _bankThresholdFunction = null; @@ -90,6 +92,8 @@ public static final CollateralGroupSpecification ZeroThreshold ( return new CollateralGroupSpecification ( org.drip.quant.common.StringUtil.GUID(), name, + 14, + 14, null, null, 0., @@ -130,6 +134,8 @@ public static final CollateralGroupSpecification FixedThreshold ( return new CollateralGroupSpecification ( org.drip.quant.common.StringUtil.GUID(), name, + 14, + 14, new org.drip.function.r1tor1.FlatUnivariate[] { new org.drip.function.r1tor1.FlatUnivariate (counterPartyThreshold) @@ -152,6 +158,8 @@ public static final CollateralGroupSpecification FixedThreshold ( * * @param id The Collateral Group ID * @param name The Collateral Group Name + * @param counterPartyDefaultWindow The Counter Party Default Window + * @param bankDefaultWindow The Bank Default Window * @param counterPartyThresholdFunctionArray The Array of Collateral Group Counter Party Threshold R^1 - R^1 * Functions * @param bankThresholdFunction The Collateral Group Bank Threshold R^1 - R^1 Function @@ -164,6 +172,8 @@ public static final CollateralGroupSpecification FixedThreshold ( public CollateralGroupSpecification ( final java.lang.String id, final java.lang.String name, + final int counterPartyDefaultWindow, + final int bankDefaultWindow, final org.drip.function.definition.R1ToR1[] counterPartyThresholdFunctionArray, final org.drip.function.definition.R1ToR1 bankThresholdFunction, final double minimumTransferAmount, @@ -175,7 +185,9 @@ public CollateralGroupSpecification ( name ); - if (!org.drip.quant.common.NumberUtil.IsValid (_minimumTransferAmount = minimumTransferAmount) || + if (-1 >= (_counterPartyDefaultWindow = counterPartyDefaultWindow) || + -1 >= (_bankDefaultWindow = bankDefaultWindow) || + !org.drip.quant.common.NumberUtil.IsValid (_minimumTransferAmount = minimumTransferAmount) || !org.drip.quant.common.NumberUtil.IsValid (_independentAmount = independentAmount)) { throw new java.lang.Exception ("CollateralGroupSpecification Constructor => Invalid Inputs"); @@ -185,6 +197,28 @@ public CollateralGroupSpecification ( _counterPartyThresholdFunctionArray = counterPartyThresholdFunctionArray; } + /** + * Retrieve the Counter Party Default Window + * + * @return The Counter Party Default Window + */ + + public int counterPartyDefaultWindow() + { + return _counterPartyDefaultWindow; + } + + /** + * Retrieve the Bank Default Window + * + * @return The Bank Default Window + */ + + public int bankDefaultWindow() + { + return _bankDefaultWindow; + } + /** * Retrieve the Array of the Collateral Group Counter Party Threshold R^1 - R^1 Functions * diff --git a/src/main/java/org/drip/xva/set/CounterPartyGroupSpecification.java b/src/main/java/org/drip/xva/set/CounterPartyGroupSpecification.java deleted file mode 100644 index 5dfdf346d46b..000000000000 --- a/src/main/java/org/drip/xva/set/CounterPartyGroupSpecification.java +++ /dev/null @@ -1,154 +0,0 @@ - -package org.drip.xva.set; - -/* - * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- - */ - -/*! - * Copyright (C) 2018 Lakshmi Krishnamurthy - * Copyright (C) 2017 Lakshmi Krishnamurthy - * - * This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model - * libraries targeting analysts and developers - * https://lakshmidrip.github.io/DRIP/ - * - * DRIP is composed of four main libraries: - * - * - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/ - * - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/ - * - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/ - * - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/ - * - * - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options, - * Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA - * Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV - * Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM - * Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics. - * - * - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy - * Incorporator, Holdings Constraint, and Transaction Costs. - * - * - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality. - * - * - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning. - * - * Licensed under the Apache License, Version 2.0 (the "License"); - * you may not use this file except in compliance with the License. - * - * You may obtain a copy of the License at - * http://www.apache.org/licenses/LICENSE-2.0 - * - * Unless required by applicable law or agreed to in writing, software - * distributed under the License is distributed on an "AS IS" BASIS, - * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. - * - * See the License for the specific language governing permissions and - * limitations under the License. - */ - -/** - * CounterPartyGroupSpecification contains the Specifications of a Counter Party Group. The References are: - * - * - 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. - * - * - Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the - * Presence of Counter-party Credit Risk for the Fixed Income Market, World Scientific Publishing, - * Singapore. - * - * - Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing, Risk - * 21 (2) 97-102. - * - * @author Lakshmi Krishnamurthy - */ - -public class CounterPartyGroupSpecification extends org.drip.xva.set.RollUpGroupSpecification -{ - private int _bankDefaultWindow = -1; - private int _counterPartyDefaultWindow = -1; - - /** - * Construct a Standard Instance of CounterPartyGroupSpecification - * - * @param name The Collateral Group Name - * - * @return The Standard Instance of CounterPartyGroupSpecification - */ - - public static final CounterPartyGroupSpecification Standard ( - final java.lang.String name) - { - try - { - return new CounterPartyGroupSpecification ( - org.drip.quant.common.StringUtil.GUID(), - name, - 14, - 14 - ); - } - catch (java.lang.Exception e) - { - e.printStackTrace(); - } - - return null; - } - - /** - * CounterPartyGroup Constructor - * - * @param id The Collateral Group ID - * @param name The Collateral Group Name - * @param counterPartyDefaultWindow The Counter Party Default Window - * @param bankDefaultWindow The Bank Default Window - * - * @throws java.lang.Exception Thrown if the Inputs are Invalid - */ - - public CounterPartyGroupSpecification ( - final java.lang.String id, - final java.lang.String name, - final int counterPartyDefaultWindow, - final int bankDefaultWindow) - throws java.lang.Exception - { - super ( - id, - name - ); - - if (-1 >= (_counterPartyDefaultWindow = counterPartyDefaultWindow) || - -1 >= (_bankDefaultWindow = bankDefaultWindow)) - { - throw new java.lang.Exception ("CounterPartyGroupSpecification Constructor => Invalid Inputs"); - } - } - - /** - * Retrieve the Counter Party Default Window - * - * @return The Counter Party Default Window - */ - - public int counterPartyDefaultWindow() - { - return _counterPartyDefaultWindow; - } - - /** - * Retrieve the Bank Default Window - * - * @return The Bank Default Window - */ - - public int bankDefaultWindow() - { - return _bankDefaultWindow; - } -} diff --git a/src/main/java/org/drip/xva/set/GroupSpecificationContainer.java b/src/main/java/org/drip/xva/set/GroupSpecificationContainer.java index adccad41d62f..46002d1a4267 100644 --- a/src/main/java/org/drip/xva/set/GroupSpecificationContainer.java +++ b/src/main/java/org/drip/xva/set/GroupSpecificationContainer.java @@ -70,9 +70,6 @@ public class GroupSpecificationContainer { private org.drip.analytics.support.CaseInsensitiveHashMap _collateralGroupMap = null; - private - org.drip.analytics.support.CaseInsensitiveHashMap - _counterPartyGroupMap = null; private org.drip.analytics.support.CaseInsensitiveHashMap _nettingGroupMap = null; private org.drip.analytics.support.CaseInsensitiveHashMap @@ -87,9 +84,6 @@ public GroupSpecificationContainer() _collateralGroupMap = new org.drip.analytics.support.CaseInsensitiveHashMap(); - _counterPartyGroupMap = new - org.drip.analytics.support.CaseInsensitiveHashMap(); - _nettingGroupMap = new org.drip.analytics.support.CaseInsensitiveHashMap(); @@ -109,18 +103,6 @@ public GroupSpecificationContainer() return _collateralGroupMap; } - /** - * Retrieve the Counter Party Group Map - * - * @return The Counter Party Group Map - */ - - public org.drip.analytics.support.CaseInsensitiveHashMap - counterPartyGroupMap() - { - return _counterPartyGroupMap; - } - /** * Retrieve the Netting Group Map * @@ -197,58 +179,6 @@ public org.drip.xva.set.CollateralGroupSpecification collateralGroupSpecificatio return !containsCollateralGroupSpecification (id) ? null : _collateralGroupMap.get (id); } - /** - * Add the Counter Party Group Specification - * - * @param counterPartyGroupSpecification Counter Party Group Specification - * - * @return TRUE - The Counter Party Group Specification successfully added - */ - - public boolean addCounterPartyGroupSpecification ( - final org.drip.xva.set.CounterPartyGroupSpecification counterPartyGroupSpecification) - { - if (null == counterPartyGroupSpecification) - { - return false; - } - - _counterPartyGroupMap.put ( - counterPartyGroupSpecification.id(), - counterPartyGroupSpecification - ); - - return true; - } - - /** - * Indicate if the Map contains the Counter Party Group Specification - * - * @param id The Counter Party Group ID - * - * @return TRUE - The Map contains the Counter Party Group Specification - */ - - public boolean containsCounterPartyGroupSpecification ( - final java.lang.String id) - { - return null != id && !id.isEmpty() && _counterPartyGroupMap.containsKey (id); - } - - /** - * Retrieve the Counter Party Group Specification corresponding to the ID - * - * @param id The Counter Party Group ID - * - * @return The Counter Party Group Specification - */ - - public org.drip.xva.set.CounterPartyGroupSpecification counterPartyGroupSpecification ( - final java.lang.String id) - { - return !containsCounterPartyGroupSpecification (id) ? null : _counterPartyGroupMap.get (id); - } - /** * Add the Netting Group Specification * diff --git a/src/main/java/org/drip/xva/set/PositionGroupSpecification.java b/src/main/java/org/drip/xva/set/PositionGroupSpecification.java index 107ac7bb9090..705d79b3be8e 100644 --- a/src/main/java/org/drip/xva/set/PositionGroupSpecification.java +++ b/src/main/java/org/drip/xva/set/PositionGroupSpecification.java @@ -71,7 +71,6 @@ public class PositionGroupSpecification extends org.drip.xva.set.RollUpGroupSpec private org.drip.xva.set.RollUpGroupSpecification _fundingGroupSpecification = null; private org.drip.xva.set.NettingGroupSpecification _nettingGroupSpecification = null; private org.drip.xva.set.CollateralGroupSpecification _collateralGroupSpecification = null; - private org.drip.xva.set.CounterPartyGroupSpecification _counterPartyGroupSpecification = null; /** * PositionGroupSpecification Constructor @@ -79,7 +78,6 @@ public class PositionGroupSpecification extends org.drip.xva.set.RollUpGroupSpec * @param id The Position Group ID * @param name The Position Group Name * @param collateralGroupSpecification The Position's Collateral Group Specification - * @param counterPartyGroupSpecification The Position's Counter Party Group Specification * @param nettingGroupSpecification The Position's Netting Group Specification * @param fundingGroupSpecification The Position's Funding Group Specification * @@ -90,7 +88,6 @@ public PositionGroupSpecification ( final java.lang.String id, final java.lang.String name, final org.drip.xva.set.CollateralGroupSpecification collateralGroupSpecification, - final org.drip.xva.set.CounterPartyGroupSpecification counterPartyGroupSpecification, final org.drip.xva.set.NettingGroupSpecification nettingGroupSpecification, final org.drip.xva.set.RollUpGroupSpecification fundingGroupSpecification) throws java.lang.Exception @@ -101,7 +98,6 @@ public PositionGroupSpecification ( ); if (null == (_collateralGroupSpecification = collateralGroupSpecification) || - null == (_counterPartyGroupSpecification = counterPartyGroupSpecification) || null == (_nettingGroupSpecification = nettingGroupSpecification) || null == (_fundingGroupSpecification = fundingGroupSpecification)) { @@ -120,17 +116,6 @@ public org.drip.xva.set.CollateralGroupSpecification collateralGroupSpecificatio return _collateralGroupSpecification; } - /** - * Retrieve the Position's Counter Party Group Specification - * - * @return The Position's Counter Party Group Specification - */ - - public org.drip.xva.set.CounterPartyGroupSpecification counterPartyGroupSpecification() - { - return _counterPartyGroupSpecification; - } - /** * Retrieve the Position's Netting Group Specification *