-
Notifications
You must be signed in to change notification settings - Fork 50
Expand file tree
/
Copy path01_10_2018.txt
More file actions
48 lines (40 loc) · 1.81 KB
/
01_10_2018.txt
File metadata and controls
48 lines (40 loc) · 1.81 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
Features:
- XVA Dynamics - Portfolio Value Evolver (1, 2)
- Path Simulator - Vertex Value Realization (3, 4, 5)
- Market and Date Vertex Arrays (6)
- Albanese Andersen Collateral Group Vertexes (7)
- Market Path Collateral Group Array (10)
- Path Simulator - Initial Portfolio Value (11)
- State Entity Dynamics Realizations - Shell (12)
- State Entity Realization - Portfolio Value (13)
- State Entity Realization - Overnight Numeraire (14)
- State Entity Realization - CSA Numeraire (15)
- State Entity Realization - Bank Hazard (16)
- State Entity Realization - Bank Recovery (17)
- State Entity Realization - Bank Funding (18)
- State Entity Realization - CPTY Hazard (19)
- State Entity Realization - CPTY Recovery (20)
- State Entity Realization - CPTY Funding (21)
- State Entity Realization - Constructor/Annotation (22, 23, 24)
- Path Simulator - Single Trajectory Generation (25, 26)
- Path Simulator - Cumulative Trajectory Generation (27, 28)
- SER Initial/Date Vertexes Transmission (29, 30)
- Path Trajectory - Privatize Single Trajectory (31)
- Path Simulator Trajectory - RNG Centralization (32)
- Market Path SER Generation #1 (33, 34)
- Market Path SER Generation #2 (35, 36)
- Market Path SER Generation #3 (37, 38)
- Market Path SER Generation #4 (39, 40)
- Path Collateral Group Generation #1 (41, 42)
- Path Collateral Group Generation #2 (43, 44)
- Path Simulation - Exposure Adjustment Array (45)
- Path Simulator - Exposure Adjustment Digest (46, 47)
- Cross Product XVA Simulation Digest (48)
- Evolution Control - Constructor and Annotation (55, 56, 57)
Bug Fixes/Clean-up:
- Path Simulation - Curly Brackets Indentation (8, 9)
Samples:
- OTC Fix Float Digest #1 (49, 50)
- OTC Fix Float Digest #2 (51, 52)
- OTC Fix Float Digest #3 (53, 54)
- OTC Fix Float Digest #4 (58, 59, 60)