Features:

- Dynamics Container Primary Security Evolver (1, 2) - Eliminate Primary Security Container CSA (3) - Eliminate Primary Security Container Position (4) - Eliminate Primary Security Container Overnight (5) - Eliminate Primary Security Container Bank Senior (6) - Eliminate Primary Security Container Bank Subordinate (7, 8) - Eliminate Primary Security Container CPTY (9, 10) - Primary Security Container Constructor #1 (11, 12) - Primary Security Container Constructor #2 (13, 14) - XVA Evolver Market Dynamics Container (18, 19) - Market Dynamics Container Bank Hazard (20, 21) - Market Dynamics Container Bank Senior Recovery (22) - Market Dynamics Container Bank Subordinate Recovery (23, 24) - Counter Party Hazard Rate Evolver (25) - Counter Party Recovery Rate Evolver (26, 27) - Market Dynamics Container Constructor Re-work (28, 29, 30) - Latent State Dynamics Container Shell (44) - Latent State Dynamics Container Collateral (45) - Latent State Dynamics Container Credit (46) - Latent State Dynamics Container CSA (47) - Latent State Dynamics Container Custom (48) - Latent State Dynamics Container Equity (49) - Latent State Dynamics Container Forward (50) - Latent State Dynamics Container Funding (51) - Latent State Dynamics Container FX (52) - Latent State Dynamics Container Govvie (53) - Latent State Dynamics Container OTC Fix Float (54) - Latent State Dynamics Container Pay Down (55) - Latent State Dynamics Container Rating (56) - Latent State Dynamics Container FX (57) - Latent State Dynamics Container Recovery (58) - Latent State Dynamics Container Hazard (59) - Latent State Dynamics Container Volatility (60) - Latent State Dynamics Container Repo (61) - State Identifier Entity Hazard Label (62, 63) - Entity State Identifier Label Shell (64) - Designate State Identifier Label Constructor (65, 66, 67) - Equity Label State Identifier Inheritance (68) - Hazard Label State Identifier Inheritance (69) - Custom Label State Identifier Inheritance (70) Bug Fixes/Clean-up: - XVA Evolver Scaling Numeraire Re-jig (15) - Eliminate Tradeable Latent State Container (16) - Eliminate Terminal Latent State Container (17) Samples: - Correlated Numeraire XVA Attribution (31, 32) - Correlated Numeraire XVA Explain (33, 34) - Correlated Numeraire XVA Greeks (35) - Correlated Numeraire XVA Replication Portfolio (36) - Burgard 2011 XVA Explain (37) - Burgard 2011 XVA Greeks (38) - Burgard 2011 XVA Market Generation (39) - Burgard 2011 XVA Replication Portfolio (40) - Euler Evolution Trajectory Scheme (41) - Albanese Andersen Basel Proxy (42, 43)
lakshmiDRIP · Feb 5, 2018 · bdfe977 · bdfe977
1 parent 90a3881
commit bdfe977
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diff --git a/ReleaseNotes/02_14_2018.txt b/ReleaseNotes/02_14_2018.txt
@@ -0,0 +1,64 @@
+
+Features:
+
+	- Dynamics Container Primary Security Evolver (1, 2)
+	- Eliminate Primary Security Container CSA (3)
+	- Eliminate Primary Security Container Position (4)
+	- Eliminate Primary Security Container Overnight (5)
+	- Eliminate Primary Security Container Bank Senior (6)
+	- Eliminate Primary Security Container Bank Subordinate (7, 8)
+	- Eliminate Primary Security Container CPTY (9, 10)
+	- Primary Security Container Constructor #1 (11, 12)
+	- Primary Security Container Constructor #2 (13, 14)
+	- XVA Evolver Market Dynamics Container (18, 19)
+	- Market Dynamics Container Bank Hazard (20, 21)
+	- Market Dynamics Container Bank Senior Recovery (22)
+	- Market Dynamics Container Bank Subordinate Recovery (23, 24)
+	- Counter Party Hazard Rate Evolver (25)
+	- Counter Party Recovery Rate Evolver (26, 27)
+	- Market Dynamics Container Constructor Re-work (28, 29, 30)
+	- Latent State Dynamics Container Shell (44)
+	- Latent State Dynamics Container Collateral (45)
+	- Latent State Dynamics Container Credit (46)
+	- Latent State Dynamics Container CSA (47)
+	- Latent State Dynamics Container Custom (48)
+	- Latent State Dynamics Container Equity (49)
+	- Latent State Dynamics Container Forward (50)
+	- Latent State Dynamics Container Funding (51)
+	- Latent State Dynamics Container FX (52)
+	- Latent State Dynamics Container Govvie (53)
+	- Latent State Dynamics Container OTC Fix Float (54)
+	- Latent State Dynamics Container Pay Down (55)
+	- Latent State Dynamics Container Rating (56)
+	- Latent State Dynamics Container FX (57)
+	- Latent State Dynamics Container Recovery (58)
+	- Latent State Dynamics Container Hazard (59)
+	- Latent State Dynamics Container Volatility (60)
+	- Latent State Dynamics Container Repo (61)
+	- State Identifier Entity Hazard Label (62, 63)
+	- Entity State Identifier Label Shell (64)
+	- Designate State Identifier Label Constructor (65, 66, 67)
+	- Equity Label State Identifier Inheritance (68)
+	- Hazard Label State Identifier Inheritance (69)
+	- Custom Label State Identifier Inheritance (70)
+
+
+Bug Fixes/Clean-up:
+
+	- XVA Evolver Scaling Numeraire Re-jig (15)
+	- Eliminate Tradeable Latent State Container (16)
+	- Eliminate Terminal Latent State Container (17)
+
+
+Samples:
+
+	- Correlated Numeraire XVA Attribution (31, 32)
+	- Correlated Numeraire XVA Explain (33, 34)
+	- Correlated Numeraire XVA Greeks (35)
+	- Correlated Numeraire XVA Replication Portfolio (36)
+	- Burgard 2011 XVA Explain (37)
+	- Burgard 2011 XVA Greeks (38)
+	- Burgard 2011 XVA Market Generation (39)
+	- Burgard 2011 XVA Replication Portfolio (40)
+	- Euler Evolution Trajectory Scheme (41)
+	- Albanese Andersen Basel Proxy (42, 43)
diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAAttribution.java
@@ -10,14 +10,10 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.quant.linearalgebra.Matrix;
 import org.drip.service.env.EnvManager;
-import org.drip.state.identifier.CreditLabel;
-import org.drip.state.identifier.CreditSupportAnnexLabel;
-import org.drip.state.identifier.EquityLabel;
-import org.drip.state.identifier.OvernightLabel;
+import org.drip.state.identifier.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.derivative.*;
-import org.drip.xva.evolver.PrimarySecurity;
-import org.drip.xva.evolver.PrimarySecurityContainer;
+import org.drip.xva.evolver.*;
 import org.drip.xva.pde.*;
 import org.drip.xva.universe.*;
 
@@ -434,12 +430,27 @@ public static final void main (
 			iSpotDate,
 			aiVertexDate,
 			tc,
-			new EntityLatentStateEvolver (
-				deBankHazardRate,
-				deBankSeniorRecoveryRate,
-				deBankSubordinateRecoveryRate,
-				deCounterPartyHazardRate,
-				deCounterPartyRecoveryRate
+			new MarketDynamicsContainer (
+				new TerminalLatentState (
+					CreditLabel.Standard (bank),
+					deBankHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SENIOR"),
+					deBankSeniorRecoveryRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SUBORDINATE"),
+					deBankSubordinateRecoveryRate
+				),
+				new TerminalLatentState (
+					CreditLabel.Standard (counterParty),
+					deCounterPartyHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (counterParty + "_SENIOR"),
+					deCounterPartyRecoveryRate
+				)
 			)
 		);
 

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAExplain.java
@@ -10,14 +10,10 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.quant.linearalgebra.Matrix;
 import org.drip.service.env.EnvManager;
-import org.drip.state.identifier.CreditLabel;
-import org.drip.state.identifier.CreditSupportAnnexLabel;
-import org.drip.state.identifier.EquityLabel;
-import org.drip.state.identifier.OvernightLabel;
+import org.drip.state.identifier.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.derivative.*;
-import org.drip.xva.evolver.PrimarySecurity;
-import org.drip.xva.evolver.PrimarySecurityContainer;
+import org.drip.xva.evolver.*;
 import org.drip.xva.pde.*;
 import org.drip.xva.universe.*;
 
@@ -435,12 +431,27 @@ public static final void main (
 			iSpotDate,
 			aiVertexDate,
 			tc,
-			new EntityLatentStateEvolver (
-				deBankHazardRate,
-				deBankSeniorRecoveryRate,
-				deBankSubordinateRecoveryRate,
-				deCounterPartyHazardRate,
-				deCounterPartyRecoveryRate
+			new MarketDynamicsContainer (
+				new TerminalLatentState (
+					CreditLabel.Standard (bank),
+					deBankHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SENIOR"),
+					deBankSeniorRecoveryRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SUBORDINATE"),
+					deBankSubordinateRecoveryRate
+				),
+				new TerminalLatentState (
+					CreditLabel.Standard (counterParty),
+					deCounterPartyHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (counterParty + "_SENIOR"),
+					deCounterPartyRecoveryRate
+				)
 			)
 		);
 

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAGreeks.java
@@ -10,14 +10,10 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.quant.linearalgebra.Matrix;
 import org.drip.service.env.EnvManager;
-import org.drip.state.identifier.CreditLabel;
-import org.drip.state.identifier.CreditSupportAnnexLabel;
-import org.drip.state.identifier.EquityLabel;
-import org.drip.state.identifier.OvernightLabel;
+import org.drip.state.identifier.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.derivative.*;
-import org.drip.xva.evolver.PrimarySecurity;
-import org.drip.xva.evolver.PrimarySecurityContainer;
+import org.drip.xva.evolver.*;
 import org.drip.xva.pde.*;
 import org.drip.xva.universe.*;
 
@@ -433,12 +429,27 @@ public static final void main (
 			iSpotDate,
 			aiVertexDate,
 			tc,
-			new EntityLatentStateEvolver (
-				deBankHazardRate,
-				deBankSeniorRecoveryRate,
-				deBankSubordinateRecoveryRate,
-				deCounterPartyHazardRate,
-				deCounterPartyRecoveryRate
+			new MarketDynamicsContainer (
+				new TerminalLatentState (
+					CreditLabel.Standard (bank),
+					deBankHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SENIOR"),
+					deBankSeniorRecoveryRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SUBORDINATE"),
+					deBankSubordinateRecoveryRate
+				),
+				new TerminalLatentState (
+					CreditLabel.Standard (counterParty),
+					deCounterPartyHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (counterParty + "_SENIOR"),
+					deCounterPartyRecoveryRate
+				)
 			)
 		);
 

diff --git a/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java b/src/main/java/org/drip/sample/burgard2011/CorrelatedNumeraireXVAReplicationPortfolio.java
@@ -10,14 +10,10 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.quant.linearalgebra.Matrix;
 import org.drip.service.env.EnvManager;
-import org.drip.state.identifier.CreditLabel;
-import org.drip.state.identifier.CreditSupportAnnexLabel;
-import org.drip.state.identifier.EquityLabel;
-import org.drip.state.identifier.OvernightLabel;
+import org.drip.state.identifier.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.derivative.*;
-import org.drip.xva.evolver.PrimarySecurity;
-import org.drip.xva.evolver.PrimarySecurityContainer;
+import org.drip.xva.evolver.*;
 import org.drip.xva.pde.*;
 import org.drip.xva.universe.*;
 
@@ -433,12 +429,27 @@ public static final void main (
 			iSpotDate,
 			aiVertexDate,
 			tc,
-			new org.drip.xva.universe.EntityLatentStateEvolver (
-				deBankHazardRate,
-				deBankSeniorRecoveryRate,
-				deBankSubordinateRecoveryRate,
-				deCounterPartyHazardRate,
-				deCounterPartyRecoveryRate
+			new MarketDynamicsContainer (
+				new TerminalLatentState (
+					CreditLabel.Standard (bank),
+					deBankHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SENIOR"),
+					deBankSeniorRecoveryRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SUBORDINATE"),
+					deBankSubordinateRecoveryRate
+				),
+				new TerminalLatentState (
+					CreditLabel.Standard (counterParty),
+					deCounterPartyHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (counterParty + "_SENIOR"),
+					deCounterPartyRecoveryRate
+				)
 			)
 		);
 

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAExplain.java b/src/main/java/org/drip/sample/burgard2011/XVAExplain.java
@@ -10,14 +10,10 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.quant.linearalgebra.Matrix;
 import org.drip.service.env.EnvManager;
-import org.drip.state.identifier.CreditLabel;
-import org.drip.state.identifier.CreditSupportAnnexLabel;
-import org.drip.state.identifier.EquityLabel;
-import org.drip.state.identifier.OvernightLabel;
+import org.drip.state.identifier.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.derivative.*;
-import org.drip.xva.evolver.PrimarySecurity;
-import org.drip.xva.evolver.PrimarySecurityContainer;
+import org.drip.xva.evolver.*;
 import org.drip.xva.pde.*;
 import org.drip.xva.universe.*;
 
@@ -435,12 +431,27 @@ public static void main (
 			iSpotDate,
 			aiVertexDate,
 			tc,
-			new EntityLatentStateEvolver (
-				deBankHazardRate,
-				deBankSeniorRecoveryRate,
-				deBankSubordinateRecoveryRate,
-				deCounterPartyHazardRate,
-				deCounterPartyRecoveryRate
+			new MarketDynamicsContainer (
+				new TerminalLatentState (
+					CreditLabel.Standard (bank),
+					deBankHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SENIOR"),
+					deBankSeniorRecoveryRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SUBORDINATE"),
+					deBankSubordinateRecoveryRate
+				),
+				new TerminalLatentState (
+					CreditLabel.Standard (counterParty),
+					deCounterPartyHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (counterParty + "_SENIOR"),
+					deCounterPartyRecoveryRate
+				)
 			)
 		);
 

diff --git a/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java b/src/main/java/org/drip/sample/burgard2011/XVAGreeks.java
@@ -10,14 +10,10 @@
 import org.drip.quant.common.FormatUtil;
 import org.drip.quant.linearalgebra.Matrix;
 import org.drip.service.env.EnvManager;
-import org.drip.state.identifier.CreditLabel;
-import org.drip.state.identifier.CreditSupportAnnexLabel;
-import org.drip.state.identifier.EquityLabel;
-import org.drip.state.identifier.OvernightLabel;
+import org.drip.state.identifier.*;
 import org.drip.xva.definition.*;
 import org.drip.xva.derivative.*;
-import org.drip.xva.evolver.PrimarySecurity;
-import org.drip.xva.evolver.PrimarySecurityContainer;
+import org.drip.xva.evolver.*;
 import org.drip.xva.pde.*;
 import org.drip.xva.universe.*;
 
@@ -424,12 +420,27 @@ public static void main (
 			iSpotDate,
 			aiVertexDate,
 			tc,
-			new EntityLatentStateEvolver (
-				deBankHazardRate,
-				deBankSeniorRecoveryRate,
-				deBankSubordinateRecoveryRate,
-				deCounterPartyHazardRate,
-				deCounterPartyRecoveryRate
+			new MarketDynamicsContainer (
+				new TerminalLatentState (
+					CreditLabel.Standard (bank),
+					deBankHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SENIOR"),
+					deBankSeniorRecoveryRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (bank + "_SUBORDINATE"),
+					deBankSubordinateRecoveryRate
+				),
+				new TerminalLatentState (
+					CreditLabel.Standard (counterParty),
+					deCounterPartyHazardRate
+				),
+				new TerminalLatentState (
+					RecoveryLabel.Standard (counterParty + "_SENIOR"),
+					deCounterPartyRecoveryRate
+				)
 			)
 		);