Features:

- Basel Exposure Adjustment Aggregator #1 (1, 2) - Basel Exposure Adjustment Aggregator #2 (3, 4) - Basel Exposure Adjustment Aggregator #3 (5, 6) - Basel Exposure Adjustment Aggregator #4 (7, 8) - Basel Exposure Adjustment Aggregator #5 (9, 10) - Basel Exposure Adjustment Aggregator #6 (11, 12) - Basel Exposure Adjustment Aggregator #7 (13, 14) - Basel Exposure Adjustment Aggregator #8 (15, 16) Bug Fixes/Clean-up: Samples:
lakshmiDRIP · May 23, 2018 · 55441e1 · 55441e1
1 parent 3f83b98
commit 55441e1
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Showing 3 changed files with 72 additions and 11 deletions.
diff --git a/ReleaseNotes/05_22_2018.txt b/ReleaseNotes/05_22_2018.txt
@@ -0,0 +1,16 @@
+
+Features:
+
+ - Basel Exposure Adjustment Aggregator #1 (1, 2)
+ - Basel Exposure Adjustment Aggregator #2 (3, 4)
+ - Basel Exposure Adjustment Aggregator #3 (5, 6)
+ - Basel Exposure Adjustment Aggregator #4 (7, 8)
+ - Basel Exposure Adjustment Aggregator #5 (9, 10)
+ - Basel Exposure Adjustment Aggregator #6 (11, 12)
+ - Basel Exposure Adjustment Aggregator #7 (13, 14)
+ - Basel Exposure Adjustment Aggregator #8 (15, 16)
+
+
+Bug Fixes/Clean-up:
+
+Samples:
diff --git a/src/main/java/org/drip/xva/gross/ExposureAdjustmentAggregator.java b/src/main/java/org/drip/xva/gross/ExposureAdjustmentAggregator.java
@@ -1218,6 +1218,8 @@ public org.drip.xva.gross.ExposureAdjustmentDigest digest()
  /**
  * Generate the Basel Exposure Digest
  * 
+ * @param standardizedExposureGeneratorScheme The Standardized Basel Exposure Generation Scheme
+ * 
  * @return The Basel Exposure Digest
  */
 
@@ -1235,6 +1237,7 @@ public org.drip.xva.gross.BaselExposureDigest baselExposureDigest (
  int[] vertexDateArray = new int[vertexCount];
  int pathCount = _pathExposureAdjustmentArray.length;
  double[] collateralizedPositiveExposure = new double[vertexCount];
+ double[] effectiveCollateralizedPositiveExposure = new double[vertexCount];
  org.drip.spline.params.SegmentCustomBuilderControl[] segmentCustomBuilderControlArray = new
  org.drip.spline.params.SegmentCustomBuilderControl[vertexCount - 1]; 
 
@@ -1260,6 +1263,19 @@ public org.drip.xva.gross.BaselExposureDigest baselExposureDigest (
  for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
  {
  collateralizedPositiveExposure[vertexIndex] /= pathCount;
+
+ if (0 == vertexIndex)
+ {
+ effectiveCollateralizedPositiveExposure[0] = collateralizedPositiveExposure[0];
+ }
+ else
+ {
+ effectiveCollateralizedPositiveExposure[vertexIndex] =
+ collateralizedPositiveExposure[vertexIndex] >
+ effectiveCollateralizedPositiveExposure[vertexIndex - 1] ?
+ collateralizedPositiveExposure[vertexIndex] :
+ effectiveCollateralizedPositiveExposure[vertexIndex - 1];
+ }
  }
 
  try
@@ -1282,9 +1298,9 @@ public org.drip.xva.gross.BaselExposureDigest baselExposureDigest (
  for (int i = 0; i < vertexCount - 1; ++i)
  segmentCustomBuilderControlArray[i] = segmentCustomBuilderControl;
 
- org.drip.spline.stretch.MultiSegmentSequence multiSegmentSequence =
+ org.drip.spline.stretch.MultiSegmentSequence multiSegmentSequenceCollateralizedPositiveExposure =
  org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator (
- "DF_STRETCH",
+ "CollateralizedPositiveExposure",
  vertexDateArray,
  collateralizedPositiveExposure,
  segmentCustomBuilderControlArray,
@@ -1293,12 +1309,41 @@ public org.drip.xva.gross.BaselExposureDigest baselExposureDigest (
  org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE
  );
 
+ org.drip.spline.stretch.MultiSegmentSequence
+ multiSegmentSequenceEffectiveCollateralizedPositiveExposure =
+ org.drip.spline.stretch.MultiSegmentSequenceBuilder.CreateCalibratedStretchEstimator (
+ "EffectiveCollateralizedPositiveExposure",
+ vertexDateArray,
+ effectiveCollateralizedPositiveExposure,
+ segmentCustomBuilderControlArray,
+ null,
+ org.drip.spline.stretch.BoundarySettings.NaturalStandard(),
+ org.drip.spline.stretch.MultiSegmentSequence.CALIBRATE
+ );
+
+ if (null == multiSegmentSequenceCollateralizedPositiveExposure ||
+ null == multiSegmentSequenceEffectiveCollateralizedPositiveExposure)
+ {
+ return null;
+ }
+
+ int integrandFinish = vertexDateArray[0] + standardizedExposureGeneratorScheme.timeIntegrand();
+
+ double effectiveExpectedPositiveExposure =
+ multiSegmentSequenceEffectiveCollateralizedPositiveExposure.toAU().integrate (
+ vertexDateArray[0],
+ integrandFinish
+ );
+
  return new BaselExposureDigest (
- collateralizedPositiveExposure[0],
- java.lang.Double.NaN, // final double expectedPositiveExposure,
- java.lang.Double.NaN, // final double effectiveExpectedExposure,
- java.lang.Double.NaN, // final double effectiveExpectedPositiveExposure,
- java.lang.Double.NaN // final double exposureAtDefault
+ vertexDateArray[0],
+ multiSegmentSequenceCollateralizedPositiveExposure.toAU().integrate (
+ vertexDateArray[0],
+ integrandFinish
+ ),
+ effectiveCollateralizedPositiveExposure[vertexCount - 1],
+ effectiveExpectedPositiveExposure,
+ effectiveExpectedPositiveExposure * standardizedExposureGeneratorScheme.eadMultiplier()
  );
  }
  catch (java.lang.Exception e)

diff --git a/src/main/java/org/drip/xva/settings/StandardizedExposureGeneratorScheme.java b/src/main/java/org/drip/xva/settings/StandardizedExposureGeneratorScheme.java
@@ -71,8 +71,8 @@
 
 public class StandardizedExposureGeneratorScheme
 {
+ private int _timeIntegrand = -1;
  private double _eadMultiplier = java.lang.Double.NaN;
- private double _timeIntegrand = java.lang.Double.NaN;
 
  /**
  * StandardizedExposureGeneratorScheme Constructor
@@ -85,11 +85,11 @@ public class StandardizedExposureGeneratorScheme
 
  public StandardizedExposureGeneratorScheme (
  final double eadMultiplier,
- final double timeIntegrand)
+ final int timeIntegrand)
  throws java.lang.Exception
  {
  if (!org.drip.quant.common.NumberUtil.IsValid (_eadMultiplier = eadMultiplier) ||
- !org.drip.quant.common.NumberUtil.IsValid (_timeIntegrand = timeIntegrand))
+ 0. >= _eadMultiplier || 0 >= (_timeIntegrand = timeIntegrand))
  {
  throw new java.lang.Exception
  ("StandardizedExposureGeneratorScheme Constructor => Invalid Inputs");
@@ -113,7 +113,7 @@ public double eadMultiplier()
  * @return The Time Integrand
  */
 
- public double timeIntegrand()
+ public int timeIntegrand()
  {
  return _timeIntegrand;
  }