Features:

- Close Out Scheme Settings - Shell (1) - Close Out Scheme Settings - Bilateral (2) - Close Out Scheme Settings - ISDA (3) - Close Out Scheme Settings #1 (4, 5) - Close Out Scheme Settings #2 (6, 7) - Close Out Scheme Settings #3 (8, 9) - XVA Hypothecation Collateral Group Shell (10, 11) - XVA Hypothecation Collateral Group Specification (12, 13) - Collateral Group Broken Date Interpolator (14, 15, 16) - XVA Hypothecation Collateral Group Trajectory (17, 18) - Collateral Group Market Vertex Array (19) - Collateral Group Position Value Array (20) - Collateral Group Broken Date Interpolator (21) - XVA Hypothecation Collateral Balance #1 (22, 23) - XVA Hypothecation Collateral Balance #2 (24, 25) - Position Group Vertex Array Values (26, 27) - Position Group Collateral Balance Array (28, 29) - Position Collateral Group Vertex #1 (30, 31) - Position Collateral Group Vertex #2 (32, 33) - Market Vertex Close Out Bilateral (34, 35, 36) - Collateral Group Vertex Array Call (37, 38) - Collateral Group Constructor and Annotation (39, 40, 41) - Position Vertex Group Collateral Array (42) - XVA Dynamics Path Simulator #1 (45, 46) - XVA Dynamics Path Simulator #2 (47, 48) - XVA Dynamics Path Simulator #3 (49, 50) Bug Fixes/Clean-up: - Close Out Market Edge Fix (51) - Eliminate Path Broken Date Scheme (52) - Eliminate Path Hedge Error Scheme (53) - Eliminate Path Close Out Scheme (54) - Eliminate Path Position Replication Scheme (55) - Eliminate Path Adjustment Digest Scheme (56, 57) - Eliminate XVA Path Simulator Scheme (58) Samples: - Albanese Andersen Basel Proxy (43, 44)
lakshmiDRIP · Feb 26, 2018 · b9ec317 · b9ec317
1 parent 2183098
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diff --git a/ReleaseNotes/03_08_2018.txt b/ReleaseNotes/03_08_2018.txt
@@ -0,0 +1,45 @@
+
+Features:
+
+ - Close Out Scheme Settings - Shell (1)
+ - Close Out Scheme Settings - Bilateral (2)
+ - Close Out Scheme Settings - ISDA (3)
+ - Close Out Scheme Settings #1 (4, 5)
+ - Close Out Scheme Settings #2 (6, 7)
+ - Close Out Scheme Settings #3 (8, 9)
+ - XVA Hypothecation Collateral Group Shell (10, 11)
+ - XVA Hypothecation Collateral Group Specification (12, 13)
+ - Collateral Group Broken Date Interpolator (14, 15, 16)
+ - XVA Hypothecation Collateral Group Trajectory (17, 18)
+ - Collateral Group Market Vertex Array (19)
+ - Collateral Group Position Value Array (20)
+ - Collateral Group Broken Date Interpolator (21)
+ - XVA Hypothecation Collateral Balance #1 (22, 23)
+ - XVA Hypothecation Collateral Balance #2 (24, 25)
+ - Position Group Vertex Array Values (26, 27)
+ - Position Group Collateral Balance Array (28, 29)
+ - Position Collateral Group Vertex #1 (30, 31)
+ - Position Collateral Group Vertex #2 (32, 33)
+ - Market Vertex Close Out Bilateral (34, 35, 36)
+ - Collateral Group Vertex Array Call (37, 38)
+ - Collateral Group Constructor and Annotation (39, 40, 41)
+ - Position Vertex Group Collateral Array (42)
+ - XVA Dynamics Path Simulator #1 (45, 46)
+ - XVA Dynamics Path Simulator #2 (47, 48)
+ - XVA Dynamics Path Simulator #3 (49, 50)
+
+
+Bug Fixes/Clean-up:
+
+ - Close Out Market Edge Fix (51)
+ - Eliminate Path Broken Date Scheme (52)
+ - Eliminate Path Hedge Error Scheme (53)
+ - Eliminate Path Close Out Scheme (54)
+ - Eliminate Path Position Replication Scheme (55)
+ - Eliminate Path Adjustment Digest Scheme (56, 57)
+ - Eliminate XVA Path Simulator Scheme (58)
+
+
+Samples:
+
+ - Albanese Andersen Basel Proxy (43, 44)
diff --git a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFunding.java
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  CloseOut cog = new CloseOutBilateral (

diff --git a/...n/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java b/...n/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFunding.java
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  CloseOut cog = new CloseOutBilateral (

diff --git a/...in/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java b/...in/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFunding.java
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  CloseOut cog = new CloseOutBilateral (

diff --git a/...main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java b/...main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFunding.java
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  CloseOut cog = new CloseOutBilateral (

diff --git a/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFundingStochastic.java
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFunding.java b/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFunding.java
@@ -211,7 +211,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SET_OFF_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  CloseOut cog = new CloseOutBilateral (

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFundingStochastic.java
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SET_OFF_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFunding.java b/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFunding.java
@@ -211,7 +211,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SET_OFF_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  CloseOut cog = new CloseOutBilateral (

diff --git a/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFundingStochastic.java b/src/main/java/org/drip/sample/burgard2013/SetOffZeroThresholdFundingStochastic.java
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.BURGARD_KJAER_SET_OFF_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.BILATERAL
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroup.java b/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroup.java
@@ -213,7 +213,7 @@ public static final void main (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.SQUARE_ROOT_OF_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  double[][] aadblSwapPortfolioValueRealization = SwapPortfolioValueRealization (

diff --git a/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroupCorrelated.java b/src/main/java/org/drip/sample/xva/CollateralizedCollateralGroupCorrelated.java
@@ -285,7 +285,7 @@ public static final void main (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.SQUARE_ROOT_OF_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  double dblTimeWidth = dblTime / iNumStep;

diff --git a/src/main/java/org/drip/sample/xva/PortfolioCollateralEstimate.java b/src/main/java/org/drip/sample/xva/PortfolioCollateralEstimate.java
@@ -112,7 +112,7 @@ public static final void main (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.SQUARE_ROOT_OF_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver dePortfolio = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroup.java b/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroup.java
@@ -211,7 +211,7 @@ public static final void main (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  double[][] aadblSwapPortfolioValueRealization = SwapPortfolioValueRealization (

diff --git a/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroupCorrelated.java b/src/main/java/org/drip/sample/xva/ZeroThresholdCollateralGroupCorrelated.java
@@ -283,7 +283,7 @@ public static final void main (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.SQUARE_ROOT_OF_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  double dblTimeWidth = dblTime / iNumStep;

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutral.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutral.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralNeutralStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayable.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralPayableStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivable.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedCollateralReceivableStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutral.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutral.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingNeutralStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayable.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingPayableStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivable.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedFundingReceivableStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutral.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutral.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingNeutralStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayable.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingPayableStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivable.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivable.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivableStochastic.java b/src/main/java/org/drip/sample/xvabasel/CollateralizedNettingReceivableStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutral.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutral.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutralStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralNeutralStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();

diff --git a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayable.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayable.java
@@ -208,7 +208,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  DiffusionEvolver deATMSwapRateOffset = new DiffusionEvolver (

diff --git a/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayableStochastic.java b/src/main/java/org/drip/sample/xvabasel/ZeroThresholdCollateralPayableStochastic.java
@@ -314,7 +314,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
  PositionReplicationScheme.ALBANESE_ANDERSEN_VERTEX,
  BrokenDateScheme.LINEAR_TIME,
  0.,
- null
+ CloseOutScheme.ISDA_92
  );
 
  JulianDate dtSpot = DateUtil.Today();