Features:

- XVA Set Position Group Container (1) - XVA Set Group Specification Container (2) - XVA Holdings - Position Dependencies Package (3) - XVA Holdings Position Unit - Shell (4) - XVA Holdings Position Group Specification (5) - Position Group Value Generator Function (6) - Position Holdings Constructor and Annotation (8, 9, 10) - Position Group Value Array #1 (11, 12) - Position Group Value Array #2 (13, 14) - Position Group Value Array #3 (15, 16) - Position Group Value Array #4 (17, 18) - Position Group Value Array #5 (19, 20) - Path Simulator Position Group Specification (31) - Holdings Position Group Container Shell (33) - Holdings Container Position Group Array (34) - Position Group Container Constructor Anotation (35, 36, 37) - Solo Position Group Container Creator (38, 39) - Number of Positions in Container (40) - Path Simulator Position Group Array (41, 42) - Path Simulator Position Group Container (43, 44) - Position Group Container - Netting Segments (59, 60) - Position Group Container - Funding Segments (61, 62) Bug Fixes/Clean-up: - XVA Position To Group Rename (7) - Eliminate XVA Dynamics Group Settings (32) - Path Simulator Variable Cleanse #1 (47, 48) - Path Simulator Variable Cleanse #2 (49, 50) - Path Simulator Variable Cleanse #3 (51, 52) - Path Simulator Variable Cleanse #4 (53, 54) - Path Simulator Variable Cleanse #5 (55, 56) - Path Simulator Variable Cleanse #6 (57) Samples: - Andersen Albanese Basel Proxy #1 (21, 22) - Andersen Albanese Basel Proxy #2 (23, 24) - Andersen Albanese Basel Proxy #3 (25, 26) - Andersen Albanese Basel Proxy #4 (27, 28) - Andersen Albanese Basel Proxy #5 (29, 30) - Andersen Albanese Basel Proxy #6 (45, 46) - Andersen Albanese Basel Proxy #7 (58)
lakshmiDRIP · Jan 20, 2018 · 9d2bee9 · 9d2bee9
1 parent c8925f0
commit 9d2bee9
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diff --git a/ReleaseNotes/01_30_2018.txt b/ReleaseNotes/01_30_2018.txt
@@ -0,0 +1,48 @@
+
+Features:
+
+	- XVA Set Position Group Container (1)
+	- XVA Set Group Specification Container (2)
+	- XVA Holdings - Position Dependencies Package (3)
+	- XVA Holdings Position Unit - Shell (4)
+	- XVA Holdings Position Group Specification (5)
+	- Position Group Value Generator Function (6)
+	- Position Holdings Constructor and Annotation (8, 9, 10)
+	- Position Group Value Array #1 (11, 12)
+	- Position Group Value Array #2 (13, 14)
+	- Position Group Value Array #3 (15, 16)
+	- Position Group Value Array #4 (17, 18)
+	- Position Group Value Array #5 (19, 20)
+	- Path Simulator Position Group Specification (31)
+	- Holdings Position Group Container Shell (33)
+	- Holdings Container Position Group Array (34)
+	- Position Group Container Constructor Anotation (35, 36, 37)
+	- Solo Position Group Container Creator (38, 39)
+	- Number of Positions in Container (40)
+	- Path Simulator Position Group Array (41, 42)
+	- Path Simulator Position Group Container (43, 44)
+	- Position Group Container - Netting Segments (59, 60)
+	- Position Group Container - Funding Segments (61, 62)
+
+
+Bug Fixes/Clean-up:
+
+	- XVA Position To Group Rename (7)
+	- Eliminate XVA Dynamics Group Settings (32)
+	- Path Simulator Variable Cleanse #1 (47, 48)
+	- Path Simulator Variable Cleanse #2 (49, 50)
+	- Path Simulator Variable Cleanse #3 (51, 52)
+	- Path Simulator Variable Cleanse #4 (53, 54)
+	- Path Simulator Variable Cleanse #5 (55, 56)
+	- Path Simulator Variable Cleanse #6 (57)
+
+
+Samples:
+
+	- Andersen Albanese Basel Proxy #1 (21, 22)
+	- Andersen Albanese Basel Proxy #2 (23, 24)
+	- Andersen Albanese Basel Proxy #3 (25, 26)
+	- Andersen Albanese Basel Proxy #4 (27, 28)
+	- Andersen Albanese Basel Proxy #5 (29, 30)
+	- Andersen Albanese Basel Proxy #6 (45, 46)
+	- Andersen Albanese Basel Proxy #7 (58)
diff --git a/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java b/src/main/java/org/drip/sample/xvafixfloat/AlbaneseAndersenBaselProxy.java
@@ -13,6 +13,7 @@
 import org.drip.service.env.EnvManager;
 import org.drip.xva.cpty.*;
 import org.drip.xva.dynamics.*;
+import org.drip.xva.holdings.*;
 import org.drip.xva.set.*;
 import org.drip.xva.universe.*;
 
@@ -383,29 +384,42 @@ public static final void main (
 				eventTenor,
 				eventCount
 			),
-			new GroupSettings (
-				CollateralGroupSpecification.FixedThreshold (
-					"FIXEDTHRESHOLD",
-					dblCounterPartyThreshold,
-					dblBankThreshold
-				),
-				CounterPartyGroupSpecification.Standard ("CPGROUP")
-			),
 			PathSimulatorScheme.AlbaneseAndersenVertex(),
-			new org.drip.function.definition.R1ToR1[]
-			{
-				new R1ToR1 (null)
-				{
-					@Override public double evaluate (
-						final double dblDate)
-						throws Exception
+			PositionGroupContainer.Solo (
+				new PositionGroup (
+					new PositionGroupSpecification (
+						"POSGRPSPEC",
+						"POSGRPSPEC",
+						CollateralGroupSpecification.FixedThreshold (
+							"FIXEDTHRESHOLD",
+							dblCounterPartyThreshold,
+							dblBankThreshold
+						),
+						CounterPartyGroupSpecification.Standard ("CPGROUP"),
+						new NettingGroupSpecification (
+							"NETGRPSPEC",
+							"NETGRPSPEC",
+							true,
+							true
+						),
+						new RollUpGroupSpecification (
+							"FUNDGRPSPEC",
+							"FUNDGRPSPEC"
+						)
+					),
+					new R1ToR1 (null)
 					{
-						double dblTimeToHorizon = 1. * (maturityDate - dblDate) / 365.25;
-
-						return dblTimeToHorizon > 0. ? dblTimeToHorizon : 0.;
+						@Override public double evaluate (
+							final double dblDate)
+							throws Exception
+						{
+							double dblTimeToHorizon = 1. * (maturityDate - dblDate) / 365.25;
+
+							return dblTimeToHorizon > 0. ? dblTimeToHorizon : 0.;
+						}
 					}
-				}
-			}
+				)
+			)
 		);
 
 		MarketVertex initialMarketVertex = MarketVertex.StartUp (