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Commit b9ec317

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lakshmiDRIPlakshmiDRIP
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Features:
 - Close Out Scheme Settings - Shell (1) - Close Out Scheme Settings - Bilateral (2) - Close Out Scheme Settings - ISDA (3) - Close Out Scheme Settings #1 (4, 5) - Close Out Scheme Settings #2 (6, 7) - Close Out Scheme Settings #3 (8, 9) - XVA Hypothecation Collateral Group Shell (10, 11) - XVA Hypothecation Collateral Group Specification (12, 13) - Collateral Group Broken Date Interpolator (14, 15, 16) - XVA Hypothecation Collateral Group Trajectory (17, 18) - Collateral Group Market Vertex Array (19) - Collateral Group Position Value Array (20) - Collateral Group Broken Date Interpolator (21) - XVA Hypothecation Collateral Balance #1 (22, 23) - XVA Hypothecation Collateral Balance #2 (24, 25) - Position Group Vertex Array Values (26, 27) - Position Group Collateral Balance Array (28, 29) - Position Collateral Group Vertex #1 (30, 31) - Position Collateral Group Vertex #2 (32, 33) - Market Vertex Close Out Bilateral (34, 35, 36) - Collateral Group Vertex Array Call (37, 38) - Collateral Group Constructor and Annotation (39, 40, 41) - Position Vertex Group Collateral Array (42) - XVA Dynamics Path Simulator #1 (45, 46) - XVA Dynamics Path Simulator #2 (47, 48) - XVA Dynamics Path Simulator #3 (49, 50) Bug Fixes/Clean-up: - Close Out Market Edge Fix (51) - Eliminate Path Broken Date Scheme (52) - Eliminate Path Hedge Error Scheme (53) - Eliminate Path Close Out Scheme (54) - Eliminate Path Position Replication Scheme (55) - Eliminate Path Adjustment Digest Scheme (56, 57) - Eliminate XVA Path Simulator Scheme (58) Samples: - Albanese Andersen Basel Proxy (43, 44)
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‎ReleaseNotes/03_08_2018.txt

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Features:
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- Close Out Scheme Settings - Shell (1)
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- Close Out Scheme Settings - Bilateral (2)
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- Close Out Scheme Settings - ISDA (3)
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- Close Out Scheme Settings #1 (4, 5)
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- Close Out Scheme Settings #2 (6, 7)
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- Close Out Scheme Settings #3 (8, 9)
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- XVA Hypothecation Collateral Group Shell (10, 11)
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- XVA Hypothecation Collateral Group Specification (12, 13)
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- Collateral Group Broken Date Interpolator (14, 15, 16)
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- XVA Hypothecation Collateral Group Trajectory (17, 18)
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- Collateral Group Market Vertex Array (19)
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- Collateral Group Position Value Array (20)
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- Collateral Group Broken Date Interpolator (21)
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- XVA Hypothecation Collateral Balance #1 (22, 23)
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- XVA Hypothecation Collateral Balance #2 (24, 25)
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- Position Group Vertex Array Values (26, 27)
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- Position Group Collateral Balance Array (28, 29)
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- Position Collateral Group Vertex #1 (30, 31)
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- Position Collateral Group Vertex #2 (32, 33)
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- Market Vertex Close Out Bilateral (34, 35, 36)
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- Collateral Group Vertex Array Call (37, 38)
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- Collateral Group Constructor and Annotation (39, 40, 41)
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- Position Vertex Group Collateral Array (42)
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- XVA Dynamics Path Simulator #1 (45, 46)
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- XVA Dynamics Path Simulator #2 (47, 48)
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- XVA Dynamics Path Simulator #3 (49, 50)
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Bug Fixes/Clean-up:
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- Close Out Market Edge Fix (51)
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- Eliminate Path Broken Date Scheme (52)
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- Eliminate Path Hedge Error Scheme (53)
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- Eliminate Path Close Out Scheme (54)
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- Eliminate Path Position Replication Scheme (55)
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- Eliminate Path Adjustment Digest Scheme (56, 57)
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- Eliminate XVA Path Simulator Scheme (58)
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Samples:
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- Albanese Andersen Basel Proxy (43, 44)

‎src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFunding.java

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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CloseOut cog = new CloseOutBilateral (

‎src/main/java/org/drip/sample/burgard2013/PerfectReplicationCollateralizedFundingStochastic.java

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Original file line numberDiff line numberDiff line change
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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JulianDate dtSpot = DateUtil.Today();

‎src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFunding.java

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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CloseOut cog = new CloseOutBilateral (

‎src/main/java/org/drip/sample/burgard2013/PerfectReplicationZeroThresholdFundingStochastic.java

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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JulianDate dtSpot = DateUtil.Today();

‎src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFunding.java

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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CloseOut cog = new CloseOutBilateral (

‎src/main/java/org/drip/sample/burgard2013/SemiReplicationCollateralizedFundingStochastic.java

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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JulianDate dtSpot = DateUtil.Today();

‎src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFunding.java

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -212,7 +212,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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CloseOut cog = new CloseOutBilateral (

‎src/main/java/org/drip/sample/burgard2013/SemiReplicationZeroThresholdFundingStochastic.java

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -323,7 +323,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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329329
JulianDate dtSpot = DateUtil.Today();

‎src/main/java/org/drip/sample/burgard2013/SetOffCollateralizedFunding.java

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Original file line numberDiff line numberDiff line change
@@ -211,7 +211,7 @@ private static final ExposureAdjustmentAggregator[] Mix (
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PositionReplicationScheme.BURGARD_KJAER_SET_OFF_VERTEX,
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BrokenDateScheme.LINEAR_TIME,
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0.,
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null
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CloseOutScheme.BILATERAL
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);
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CloseOut cog = new CloseOutBilateral (

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