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04_13_2018.txt
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187 lines (179 loc) · 8.21 KB
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Features:
- Mono Path Exposure Adjustment #1 (1, 2)
- Funding Group Vertex Collateralized Exposure (3, 4)
- Path Group Vertex Collateralized Exposure (5, 6)
- Funding Group Collateralized Exposure PV (7, 8)
- MPEA Path Collateralized Exposure PV (9, 10)
- Funding Group Uncollateralized Exposure PV (11, 12)
- MPEA Path Uncollateralized Exposure PV (13, 14)
- Path Vertex Collateralized Positive Exposures (15, 16)
- Path Vertex Collateralized Positive Exposure PV (17, 18)
- Path Vertex Collateralized Negative Exposures (19, 20)
- Path Vertex Collateralized Negative Exposure PV (21, 22)
- Path Vertex Uncollateralized Positive Exposures (23, 24)
- Path Vertex Uncollateralized Positive Exposure PV (25, 26)
- Path Vertex Uncollateralized Negative Exposures (27, 28)
- Path Vertex Uncollateralized Negative Exposure PV (29, 30)
- MPEA Path Funding Exposure PV (37, 38, 39)
- Path Exposure Adjustment Exception #1 (40, 41)
- Path Exposure Adjustment Exception #2 (42, 43)
- Path Exposure Adjustment Exception #3 (44, 45)
- Unilateral/Bilateral Funding Value Adjustment (46)
- MPEA Unilateral Funding Value Adjustment (47)
- MPEA Bilateral Funding Value Adjustment (48)
- GPEA Unilateral Funding Value Adjustment (49)
- GPEA Bilateral Funding Value Adjustment (50)
- Funding Group - Vertex Anchor Dates (51, 52)
- Funding Group Bilateral Collateral Adjustment (53)
- Funding Group Unilateral Collateral Adjustment (54)
- MPEA Group Bilateral Collateral Adjustment (55)
- MPEA Group Unilateral Collateral Adjustment (56, 57)
- GPEA Group Unilateral Collateral Adjustment (58)
- Funding Unilateral Credit Value Adjustment (59)
- Funding Bilateral Credit Value Adjustment (60)
- MPEA Unilateral Credit Value Adjustment (61)
- MPEA Bilateral Credit Value Adjustment (62)
- Funding Unilateral Debt Value Adjustment (63)
- Funding Bilateral Debt Value Adjustment (64)
- MPEA Unilateral Debt Value Adjustment (65)
- MPEA Bilateral Debt Value Adjustment (66)
- Adiabat Path Exposure Total Adjustment (67, 68)
- Funding Group Path CLCA Measure (69, 70)
- Funding Group Path CADA Measure (71, 72)
- Credit Group Path CADA #1 (73, 74)
- Credit Group Path CADA #2 (75, 76)
- MPEA Credit Debt Group Array (77)
Bug Fixes/Clean-up:
- Eliminate Credit Exposure PV Sweep (31, 32, 33)
- Eliminate Debt Exposure PV Sweep (34, 35, 36)
Samples:
- Correlated Numeraire XVA Attribution (78)
- Correlated Numeraire XVA Greeks (79)
- Correlated Numeraire XVA Explain (80)
- Correlated Numeraire XVA Replication Portfolio (81)
- Burgard 2011 XVA Greeks (82)
- Burgard 2011 XVA Explain (83)
- Burgard 2011 Market Generation (84)
- Burgard 2011 Replication Portfolio (85)
- Counter Party Hazard High (86)
- Counter Party Hazard Medium (87)
- Counter Party Hazard Low (88)
- Fix Float Bank VA (89)
- Fix Float Counter Party VA (90)
- Euler Evolution Trajectory Scheme (91)
- Bilateral CSA Collateralized Funding (92)
- Bilateral CSA Collateralized Funding Stochastic (93)
- Bilateral CSA Uncollateralized Funding (94)
- Bilateral CSA Uncollateralized Funding Stochastic (95)
- Bilateral Zero Threshold Funding (96)
- Bilateral Zero Threshold Funding Stochastic (97)
- Perfect Replication Collateralized Funding (98)
- Perfect Replication Collateralized Funding Stochastic (99)
- Perfect Replication Uncollateralized Funding (100)
- Perfect Replication Uncollateralized Funding Stochastic (101)
- Perfect Replication Zero Threshold Funding (102)
- Perfect Replication Zero Threshold Funding Stochastic (103)
- Semi Replication Collateralized Funding (104)
- Semi Replication Collateralized Funding Stochastic (105)
- Semi Replication Uncollateralized Funding (106)
- Semi Replication Uncollateralized Funding Stochastic (107)
- Semi Replication Zero Threshold Funding (108)
- Semi Replication Zero Threshold Funding Stochastic (109)
- Set Off Collateralized Funding (110)
- Set Off Collateralized Funding Stochastic (111)
- Set Off Uncollateralized Funding (112)
- Set Off Uncollateralized Funding Stochastic (113)
- Set Off Zero Threshold Funding (114)
- Set Off Zero Threshold Funding Stochastic (115)
- Unilateral CSA Collateralized Funding (116)
- Unilateral CSA Collateralized Funding Stochastic (117)
- Unilateral CSA Uncollateralized Funding (118)
- Unilateral CSA Uncollateralized Funding Stochastic (119)
- Unilateral Zero Threshold Funding (120)
- Unilateral Zero Threshold Funding Stochastic (121)
- Netting Portfolio Group Run (122)
- Netting Portfolio Group Simulation (123)
- Netting Portfolio Path Aggregation Correlated (124)
- Netting Portfolio Path Aggregation Deterministic (125)
- Netting Portfolio Path Aggregation Uncorrelated (126)
- Collateralized Collateral Group (127)
- Collateralized Collateral Group Correlated (128)
- Uncollateralized Collateral Group (129)
- Uncollateralized Collateral Group Correlated (130)
- Zero Threshold Collateral Group (131)
- Zero Threshold Collateral Group Correlated (132)
- Portfolio Collateral Estimate (133)
- Book Group Layout (134)
- Book Latent State Map (135)
- Funding Group Bilateral CSA (136)
- Funding Group Hedge Error (137)
- Funding Group Perfect Replication (138)
- Funding Group Semi Replication (139)
- Funding Group Set Off (140)
- Funding Group Unilateral CSA (141)
- Albanese Andersen Basel Proxy (142)
- Gold Plated Basel Proxy (143)
- Hedge Error Basel Proxy (144)
- One Way Basel Proxy (145)
- Semi Replication Basel Proxy (146)
- Set Off Basel Proxy (147)
- XVA Digest CPGA Collateralized (148)
- XVA Digest CPGA Collateralized Correlated (149)
- XVA Digest CPGA Uncollateralized (150)
- XVA Digest CPGA Uncollateralized Correlated (151)
- XVA Digest CPGA Zero Threshold (152)
- XVA Digest CPGA Zero Threshold Correlated (153)
- Collateralized Collateral Neutral (154)
- Collateralized Collateral Neutral Stochastic (155)
- Collateralized Funding Neutral (156)
- Collateralized Funding Neutral Stochastic (157)
- Collateralized Netting Neutral (158)
- Collateralized Netting Neutral Stochastic (159)
- Collateralized Collateral Payable (160)
- Collateralized Collateral Payable Stochastic (161)
- Collateralized Funding Payable (162)
- Collateralized Funding Payable Stochastic (163)
- Collateralized Netting Payable (164)
- Collateralized Netting Payable Stochastic (165)
- Collateralized Collateral Receivable (166)
- Collateralized Collateral Receivable Stochastic (167)
- Collateralized Funding Receivable (168)
- Collateralized Funding Receivable Stochastic (169)
- Collateralized Netting Receivable (170)
- Collateralized Netting Receivable Stochastic (171)
- Uncollateralized Collateral Neutral (172)
- Uncollateralized Collateral Neutral Stochastic (173)
- Uncollateralized Funding Neutral (174)
- Uncollateralized Funding Neutral Stochastic (175)
- Uncollateralized Netting Neutral (176)
- Uncollateralized Netting Neutral Stochastic (177)
- Uncollateralized Collateral Payable (178)
- Uncollateralized Collateral Payable Stochastic (179)
- Uncollateralized Funding Payable (180)
- Uncollateralized Funding Payable Stochastic (181)
- Uncollateralized Netting Payable (182)
- Uncollateralized Netting Payable Stochastic (183)
- Uncollateralized Collateral Receivable (184)
- Uncollateralized Collateral Receivable Stochastic (185)
- Uncollateralized Funding Receivable (186)
- Uncollateralized Funding Receivable Stochastic (187)
- Uncollateralized Netting Receivable (188)
- Uncollateralized Netting Receivable Stochastic (189)
- Zero Threshold Collateral Neutral (190)
- Zero Threshold Collateral Neutral Stochastic (191)
- Zero Threshold Funding Neutral (192)
- Zero Threshold Funding Neutral Stochastic (193)
- Zero Threshold Netting Neutral (194)
- Zero Threshold Netting Neutral Stochastic (195)
- Zero Threshold Collateral Payable (196)
- Zero Threshold Collateral Payable Stochastic (197)
- Zero Threshold Funding Payable (198)
- Zero Threshold Funding Payable Stochastic (199)
- Zero Threshold Netting Payable (200)
- Zero Threshold Netting Payable Stochastic (201)
- Zero Threshold Collateral Receivable (202)
- Zero Threshold Collateral Receivable Stochastic (203)
- Zero Threshold Funding Receivable (204)
- Zero Threshold Funding Receivable Stochastic (205)
- Zero Threshold Netting Receivable (206)
- Zero Threshold Netting Receivable Stochastic (207)