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03_30_2018.txt
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312 lines (304 loc) · 15.2 KB
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Features:
- Unilateral Credit Exposure Adjustment PV (6, 7)
- Bilateral Credit Exposure Adjustment PV (8, 9)
- Unilateral Debt Exposure Adjustment PV (10, 11)
- Bilateral Debt Exposure Adjustment PV (12, 13)
- XVA Netting Funding Group Path (14, 15)
- Credit Debt Group Path Array (16)
- Credit Debt Group Unilateral Funding (17, 18)
- Credit Debt Group Bilateral Funding (19, 20)
- Funding Unilateral/Bilateral Adjustment 01 (21, 22)
- Unilateral Funding Group Adjustment 01 (23, 24)
- Unilateral Funding Group Adjustment Valuation (25)
- Period Unilateral Funding Adjustment 01 (26, 27)
- Period Bilateral Funding Adjustment 01 (28, 29)
- Bilateral Funding Group Adjustment 01 (30)
- Unilateral/Bilateral Spread 01 #1 (31, 32)
- Unilateral/Bilateral Spread 01 #2 (33, 34)
- Period Unilateral Funding Spread 01 (35, 36)
- Period Bilateral Funding Spread 01 (37, 38)
- Period Unilateral Funding Group Adjustment (39, 40)
- Period Bilateral Funding Group Adjustment (41)
- Unilateral Funding Debt Spread 01 (42, 43)
- Bilateral Funding Debt Spread 01 (44, 45)
- Unilateral Funding Debt Spread 01 (50, 51)
- Bilateral Funding Debt Spread 01 (52, 53)
- Period Unilateral Funding Debt Spread (54, 55)
- Period Bilateral Funding Debt Spread (56)
- Funding Group Path Unilateral Debt (57, 58)
- Funding Group Path Bilateral Debt (59)
- Period Unilateral Funding Debt Adjustment (60)
- Period Bilateral Funding Debt Adjustment (61)
- Period Unilateral Funding Value Adjustment (62)
- Period Bilateral Funding Value Adjustment (63)
- Funding Group Path Market Vertex (64, 65)
- Symmetric Funding Spread 01 #1 (66, 67)
- Symmetric Funding Spread 01 #2 (68, 69)
- Symmetric Funding Spread 01 #3 (70, 71)
- Symmetric Funding Spread 01 #4 (72, 73)
- Funding Group Path Constructor Revamp (74, 75)
- Funding Group Path Period Exposure (76, 77)
- Funding Group Path Period Exposure PV (78, 79)
- Mono Path Exposure Adjustment #1 (80, 81)
- Mono Path Exposure Adjustment Constructor (82, 83, 84)
- Albanese Andersen Funding Group Paths (85, 86)
- Mono Path Exposure Adjustment #2 (87, 88, 89)
- Mono Path Exposure Adjustment #3 (93, 94)
- Mono Path Exposure Adjustment #4 (95, 96)
- Mono Path Exposure Adjustment #5 (97, 98)
- Mono Path Exposure Adjustment #6 (99, 100, 101)
- Mono Path Exposure Adjustment #7 (102, 103)
- Mono Path Exposure Adjustment #8 (104, 105)
- Mono Path Exposure Adjustment #9 (106, 107)
Bug Fixes/Clean-up:
- Credit Debt Exception Trim #1 (1, 2)
- Credit Debt Exception Trim #2 (3, 4, 5)
- Unilateral Funding Spread 01 Fix (46, 47)
- Bilateral Funding Spread 01 Fix (48, 49)
- Symmetric Funding Spread 01 Fix (220, 221, 222)
- Period Unilateral Funding Value 01 (223, 224, 225)
- Period Bilateral Funding Value 01 (226, 227, 228)
- Period Unilateral Funding Debt 01 (229, 230, 231)
- Period Bilateral Funding Debt 01 (232, 233, 234)
- Period Unilateral Funding Debt Adjustment (235, 236, 237)
- Period Bilateral Funding Debt Adjustment (238, 239, 240)
- XVA Netting Funding Path Adjustment (241, 242, 243)
- XVA Credit Debt Path Adjustment (244, 245, 246)
Samples:
- Portfolio Group Run #1 (90, 91)
- Portfolio Group Simulation #1 (92)
- Fix Float VA Bank (108, 109)
- Fix Float VA Counter Party (110)
- Bilateral CSA Collateralized Funding (111, 112)
- Bilateral CSA Collateralized Funding Stochastic (113)
- Bilateral CSA Uncollateralized Funding (114)
- Bilateral CSA Uncollateralized Funding Stochastic (115)
- Bilateral CSA Zero Threshold Funding (116)
- Bilateral CSA Zero Threshold Funding Stochastic (117)
- Perfect Replication Collateralized Funding (118)
- Perfect Replication Collateralized Funding Stochastic (119)
- Perfect Replication Uncollateralized Funding (120)
- Perfect Replication Uncollateralized Funding Stochastic (121)
- Perfect Replication Zero Threshold Funding (122)
- Perfect Replication Zero Threshold Funding Stochastic (123)
- Semi Replication Collateralized Funding (124)
- Semi Replication Collateralized Funding Stochastic (125)
- Semi Replication Uncollateralized Funding (126)
- Semi Replication Uncollateralized Funding Stochastic (127)
- Semi Replication Zero Threshold Funding (128)
- Semi Replication Zero Threshold Funding Stochastic (129)
- Set Off Replication Collateralized Funding (130)
- Set Off Replication Collateralized Funding Stochastic (131)
- Set Off Replication Uncollateralized Funding (132)
- Set Off Replication Uncollateralized Funding Stochastic (133)
- Set Off Replication Zero Threshold Funding (134)
- Set Off Replication Zero Threshold Funding Stochastic (135)
- Unilateral CSA Collateralized Funding (136)
- Unilateral CSA Collateralized Funding Stochastic (137)
- Unilateral CSA Uncollateralized Funding (138)
- Unilateral CSA Uncollateralized Funding Stochastic (139)
- Unilateral CSA Zero Threshold Funding (140)
- Unilateral CSA Zero Threshold Funding Stochastic (141)
- Portfolio Group Run #2 (142)
- Portfolio Group Simulation #2 (143)
- Portfolio Group Aggregation Correlated (144)
- Portfolio Group Aggregation Uncorrelated (145)
- Portfolio Group Aggregation Deterministic (146)
- Collateralized Collateral Group Clean (147)
- Collateralized Collateral Group Correlated (148)
- XVA Collateralized Collateral Group (149)
- XVA Collateralized Collateral Group Correlated (150)
- Zero Threshold Collateral Group (151)
- Zero Threshold Collateral Group Correlated (152)
- Funding Group Bilateral CSA (153, 154)
- Funding Group Bilateral Hedge Error (155)
- Funding Group Perfect Replication (156)
- Funding Group Semi Replication (157)
- Funding Group Set Off (158)
- Funding Group Unilateral CSA (159)
- CPGA Collateralized/Uncollateralized/Zero Threshold (160, 161, 162)
- XVA Basel Collateralized Collateral Neutral (163)
- XVA Basel Collateralized Collateral Neutral Stochastic (164)
- XVA Basel Collateralized Collateral Payable (165)
- XVA Basel Collateralized Collateral Payable Stochastic (166)
- XVA Basel Collateralized Collateral Receivable (167)
- XVA Basel Collateralized Collateral Receivable Stochastic (168)
- XVA Basel Collateralized Funding Neutral (169)
- XVA Basel Collateralized Funding Neutral Stochastic (170)
- XVA Basel Collateralized Funding Payable (171)
- XVA Basel Collateralized Funding Payable Stochastic (172)
- XVA Basel Collateralized Funding Receivable (173)
- XVA Basel Collateralized Funding Receivable Stochastic (174)
- XVA Basel Collateralized Netting Neutral (175)
- XVA Basel Collateralized Netting Neutral Stochastic (176)
- XVA Basel Collateralized Netting Payable (177)
- XVA Basel Collateralized Netting Payable Stochastic (178)
- XVA Basel Collateralized Netting Receivable (179)
- XVA Basel Collateralized Netting Receivable Stochastic (180)
- XVA Basel Uncollateralized Collateral Neutral (181)
- XVA Basel Uncollateralized Collateral Neutral Stochastic (182)
- XVA Basel Uncollateralized Collateral Payable (183)
- XVA Basel Uncollateralized Collateral Payable Stochastic (184)
- XVA Basel Uncollateralized Collateral Receivable (185)
- XVA Basel Uncollateralized Collateral Receivable Stochastic (186)
- XVA Basel Uncollateralized Funding Neutral (187)
- XVA Basel Uncollateralized Funding Neutral Stochastic (188)
- XVA Basel Uncollateralized Funding Payable (189)
- XVA Basel Uncollateralized Funding Payable Stochastic (190)
- XVA Basel Uncollateralized Funding Receivable (191)
- XVA Basel Uncollateralized Funding Receivable Stochastic (192)
- XVA Basel Uncollateralized Netting Neutral (193)
- XVA Basel Uncollateralized Netting Neutral Stochastic (194)
- XVA Basel Uncollateralized Netting Payable (195)
- XVA Basel Uncollateralized Netting Payable Stochastic (196)
- XVA Basel Uncollateralized Netting Receivable (197)
- XVA Basel Uncollateralized Netting Receivable Stochastic (198)
- Zero Threshold Collateralized Collateral Neutral (199)
- Zero Threshold Collateralized Collateral Neutral Stochastic (200)
- Zero Threshold Collateralized Collateral Payable (201)
- Zero Threshold Collateralized Collateral Payable Stochastic (202)
- Zero Threshold Collateralized Collateral Receivable (203)
- Zero Threshold Collateralized Collateral Receivable Stochastic (204)
- Zero Threshold Collateralized Funding Neutral (205)
- Zero Threshold Collateralized Funding Neutral Stochastic (206)
- Zero Threshold Collateralized Funding Payable (207)
- Zero Threshold Collateralized Funding Payable Stochastic (208)
- Zero Threshold Collateralized Funding Receivable (209)
- Zero Threshold Collateralized Funding Receivable Stochastic (210)
- Zero Threshold Collateralized Netting Neutral (211)
- Zero Threshold Collateralized Netting Neutral Stochastic (212)
- Zero Threshold Collateralized Netting Payable (213)
- Zero Threshold Collateralized Netting Payable Stochastic (214)
- Zero Threshold Collateralized Netting Receivable (215)
- Zero Threshold Collateralized Netting Receivable Stochastic (216)
- XVA Dynamics Path Simulator Sweep (217, 218, 219)
- Correlated Numeraire XVA Attribution (247)
- Correlated Numeraire XVA Explain (248)
- Correlated Numeraire XVA Greeks (249)
- Correlated Numeraire XVA Replication Portfolio (250)
- Burgard 2011 XVA Explain (251)
- Burgard 2011 XVA Greeks (252)
- Burgard 2011 XVA Market Generation (253)
- Burgard 2011 XVA Replication Portfolio (254)
- Counter Party Hazard High (255)
- Counter Party Hazard Low (256)
- Counter Party Hazard Medium (257)
- Euler Trajectory Evolution Scheme (258)
- Fix Float VA Bank (259, 260)
- Fix Float VA Counter Party (261, 262)
- Netting Portfolio Group Run (263)
- Netting Portfolio Group Simulation (264)
- Netting Portfolio Path Aggregation Correlated (265)
- Netting Portfolio Path Aggregation Deterministic (266)
- Netting Portfolio Path Aggregation Uncorrelated (267)
- XVA Collateralized Collateral Group (268)
- XVA Collateralized Collateral Group Correlated (269)
- XVA Uncollateralized Collateral Group (270)
- XVA Uncollateralized Collateral Group Correlated (271)
- Zero Threshold Collateral Group (272)
- Zero Threshold Collateral Group Correlated (273)
- XVA Portfolio Collateral Estimate (274)
- XVA Digest CPGA Collateralized (275)
- XVA Digest CPGA Collateralized Correlated (276)
- XVA Digest CPGA Uncollateralized (277)
- XVA Digest CPGA Uncollateralized Correlated (278)
- Zero Threshold CPGA Collateralized (279)
- Zero Threshold CPGA Collateralized Correlated (280)
- XVA Topology Book Group Layout (281)
- XVA Topology Book Latent State Map (282)
- Funding Group Bilateral CSA (283)
- Funding Group Hedge Error (284)
- Funding Group Perfect Replication (285)
- Funding Group Semi Replication (286)
- Funding Group Set Off (287)
- Funding Group Unilateral CSA (288)
- Albanese Andersen Basel Proxy (289)
- Gold Plated Basel Proxy (290)
- Hedge Error Basel Proxy (291)
- One Way Basel Proxy (292)
- Semi Replication Basel Proxy (293)
- Set Off Basel Proxy (294)
- Bilateral CSA Collateralized Funding (295)
- Bilateral CSA Collateralized Funding Stochastic (296)
- Bilateral CSA Uncollateralized Funding (297)
- Bilateral CSA Uncollateralized Funding Stochastic (298)
- Bilateral CSA Zero Threshold Funding (299)
- Bilateral CSA Zero Threshold Funding Stochastic (300)
- Perfect Replication Collateralized Funding (301)
- Perfect Replication Collateralized Funding Stochastic (302)
- Perfect Replication Uncollateralized Funding (303)
- Perfect Replication Uncollateralized Funding Stochastic (304)
- Perfect Replication Zero Threshold Funding (305)
- Perfect Replication Zero Threshold Funding Stochastic (306)
- Semi Replication Collateralized Funding (307)
- Semi Replication Collateralized Funding Stochastic (308)
- Semi Replication Uncollateralized Funding (309)
- Semi Replication Uncollateralized Funding Stochastic (310)
- Semi Replication Zero Threshold Funding (311)
- Semi Replication Zero Threshold Funding Stochastic (312)
- Set Off Collateralized Funding (313)
- Set Off Collateralized Funding Stochastic (314)
- Set Off Uncollateralized Funding (315)
- Set Off Uncollateralized Funding Stochastic (316)
- Set Off Zero Threshold Funding (317)
- Set Off Zero Threshold Funding Stochastic (318)
- Unilateral CSA Collateralized Funding (319)
- Unilateral CSA Collateralized Funding Stochastic (320)
- Unilateral CSA Uncollateralized Funding (321)
- Unilateral CSA Uncollateralized Funding Stochastic (322)
- Unilateral CSA Zero Threshold Funding (323)
- Unilateral CSA Zero Threshold Funding Stochastic (324)
- XVA Basel Collateralized Collateral Neutral (325)
- XVA Basel Collateralized Collateral Neutral Stochastic (326)
- XVA Basel Collateralized Collateral Payable (327)
- XVA Basel Collateralized Collateral Payable Stochastic (328)
- XVA Basel Collateralized Collateral Receivable (329)
- XVA Basel Collateralized Collateral Receivable Stochastic (330)
- XVA Basel Collateralized Funding Neutral (331)
- XVA Basel Collateralized Funding Neutral Stochastic (332)
- XVA Basel Collateralized Funding Payable (333)
- XVA Basel Collateralized Funding Payable Stochastic (334)
- XVA Basel Collateralized Funding Receivable (335)
- XVA Basel Collateralized Funding Receivable Stochastic (336)
- XVA Basel Collateralized Netting Neutral (337)
- XVA Basel Collateralized Netting Neutral Stochastic (338)
- XVA Basel Collateralized Netting Payable (339)
- XVA Basel Collateralized Netting Payable Stochastic (340)
- XVA Basel Collateralized Netting Receivable (341)
- XVA Basel Collateralized Netting Receivable Stochastic (342)
- XVA Basel Uncollateralized Collateral Neutral (343)
- XVA Basel Uncollateralized Collateral Neutral Stochastic (344)
- XVA Basel Uncollateralized Collateral Payable (345)
- XVA Basel Uncollateralized Collateral Payable Stochastic (346)
- XVA Basel Uncollateralized Collateral Receivable (347)
- XVA Basel Uncollateralized Collateral Receivable Stochastic (348)
- XVA Basel Uncollateralized Funding Neutral (349)
- XVA Basel Uncollateralized Funding Neutral Stochastic (350)
- XVA Basel Uncollateralized Funding Payable (351)
- XVA Basel Uncollateralized Funding Payable Stochastic (352)
- XVA Basel Uncollateralized Funding Receivable (353)
- XVA Basel Uncollateralized Funding Receivable Stochastic (354)
- XVA Basel Uncollateralized Netting Neutral (355)
- XVA Basel Uncollateralized Netting Neutral Stochastic (356)
- XVA Basel Uncollateralized Netting Payable (357)
- XVA Basel Uncollateralized Netting Payable Stochastic (358)
- XVA Basel Uncollateralized Netting Receivable (359)
- XVA Basel Uncollateralized Netting Receivable Stochastic (360)
- Zero Threshold Collateral Neutral (361)
- Zero Threshold Collateral Neutral Stochastic (344)
- Zero Threshold Collateral Payable (363)
- Zero Threshold Collateral Payable Stochastic (364)
- Zero Threshold Collateral Receivable (365)
- Zero Threshold Collateral Receivable Stochastic (366)
- Zero Threshold Funding Neutral (367)
- Zero Threshold Funding Neutral Stochastic (368)
- Zero Threshold Funding Payable (369)
- Zero Threshold Funding Payable Stochastic (370)
- Zero Threshold Funding Receivable (371)
- Zero Threshold Funding Receivable Stochastic (372)
- Zero Threshold Netting Neutral (373)
- Zero Threshold Netting Neutral Stochastic (374)
- Zero Threshold Netting Payable (375)
- Zero Threshold Netting Payable Stochastic (376)
- Zero Threshold Netting Receivable (377)
- Zero Threshold Netting Receivable Stochastic (378)