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03_22_2018.txt
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89 lines (81 loc) · 4.3 KB
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Features:
- Margin Amount Estimator Output #1 (1, 2)
- Margin Amount Estimator Output #2 (3, 4)
- Collateral Position Group Specification Extensions (5)
- Position Group Specification - Constructor/Annotation (6, 7)
- Fixed Threshold Position Group Specification (8)
- Zero Threshold Position Group Specification (9, 10)
- Book Group Layout Position Specification (11)
- Book Group State Position Specification (12)
- XVA Hypothecation Margin Amount Estimator (13, 14)
- XVA Dynamics Position Group Trajectory (15, 16)
- Position Group Schema Specification Proto (17, 18)
Bug Fixes/Clean-up:
- Collateral Group Specification CleanUp #1 (19, 20)
- Collateral Group Specification CleanUp #2 (23, 24)
Samples:
- XVA Digest CPGA Collateralized (21, 22)
- XVA Topology Book Group Layout (25, 26)
- Book Latent State Map (27)
- XVA Digest CPGA Collateralized Correlated (28, 29)
- XVA Digest CPGA Zero Threshold (30, 31)
- XVA Digest CPGA Zero Threshold Correlated (32, 33)
- Albanese Andersen Basel Proxy (34, 35)
- Gold Plated Basel Proxy (36)
- Set Off Basel Proxy (37, 38)
- Semi Replication Basel Proxy (39)
- Hedge Error Basel Proxy (40, 41)
- One Way Basel Proxy (42)
- XVA Collateralized Collateral Group (43, 44)
- XVA Collateralized Collateral Group Correlated (45, 46)
- XVA Portfolio Collateral Estimate (47, 48)
- XVA Zero Threshold Collateral Group (49, 50)
- XVA Zero Threshold Collateral Group Correlated (51, 52)
- XVA Basel Collateralized Collateral Neutral (53, 54)
- XVA Basel Collateralized Collateral Neutral Stochastic (55, 56)
- XVA Basel Collateralized Collateral Payable (57, 58)
- XVA Basel Collateralized Collateral Payable Stochastic (59, 60)
- XVA Basel Collateralized Collateral Receivable (61, 62)
- XVA Basel Collateralized Collateral Receivable Stochastic (63, 64)
- XVA Basel Collateralized Funding Neutral (65, 66)
- XVA Basel Collateralized Funding Neutral Stochastic (67, 68)
- XVA Basel Collateralized Funding Payable (69, 70)
- XVA Basel Collateralized Funding Payable Stochastic (71, 72)
- XVA Basel Collateralized Funding Receivable (73, 74)
- XVA Basel Collateralized Funding Receivable Stochastic (75, 76)
- XVA Basel Collateralized Netting Neutral (77, 78)
- XVA Basel Collateralized Netting Neutral Stochastic (79, 80)
- XVA Basel Collateralized Netting Payable (81, 82)
- XVA Basel Collateralized Netting Payable Stochastic (83, 84)
- XVA Basel Collateralized Netting Receivable (85, 86)
- XVA Basel Collateralized Netting Receivable Stochastic (87, 88)
- XVA Basel Zero Threshold Collateral Neutral (89, 90)
- XVA Basel Zero Threshold Collateral Neutral Stochastic (91, 92)
- XVA Basel Zero Threshold Collateral Payable (93, 94)
- XVA Basel Zero Threshold Collateral Payable Stochastic (95, 96)
- XVA Basel Zero Threshold Collateral Receivable (97, 98)
- XVA Basel Zero Threshold Collateral Receivable Stochastic (99, 100)
- XVA Basel Zero Threshold Funding Neutral (101, 102)
- XVA Basel Zero Threshold Funding Neutral Stochastic (103, 104)
- XVA Basel Zero Threshold Funding Payable (105, 106)
- XVA Basel Zero Threshold Funding Payable Stochastic (107, 108)
- XVA Basel Zero Threshold Funding Receivable (109, 110)
- XVA Basel Zero Threshold Funding Receivable Stochastic (111, 112)
- XVA Basel Zero Threshold Netting Neutral (113, 114)
- XVA Basel Zero Threshold Netting Neutral Stochastic (115, 116)
- XVA Basel Zero Threshold Netting Payable (117, 118)
- XVA Basel Zero Threshold Netting Payable Stochastic (119, 120)
- XVA Basel Zero Threshold Netting Receivable (121, 122)
- XVA Basel Zero Threshold Netting Receivable Stochastic (123, 124)
- Perfect Replication Collateralized Funding (125, 126)
- Perfect Replication Collateralized Funding Stochastic (127, 128)
- Perfect Replication Zero Threshold Funding (129, 130)
- Perfect Replication Zero Threshold Funding Stochastic (131, 132)
- Semi Replication Collateralized Funding (133, 134)
- Semi Replication Collateralized Funding Stochastic (135, 136)
- Semi Replication Zero Threshold Funding (137, 138)
- Semi Replication Zero Threshold Funding Stochastic (139, 140)
- Set Off Replication Collateralized Funding (141, 142)
- Set Off Replication Collateralized Funding Stochastic (143, 144)
- Set Off Replication Zero Threshold Funding (145, 146)
- Set Off Replication Zero Threshold Funding Stochastic (147, 148)