Class FundingCapacity

  • All Implemented Interfaces:
    Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

    public class FundingCapacity
    extends AbstractProductComponent
    Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability. The piecewise constant instantaneous survival probability has to be provided by a SortedMap<Double, Double> instantaneouseSurvivalProbability. This map defines the mapping \( x_{i} \mapsto q_{i} \). Defining \[ q(x) = q_{i} \text{\ for\ } x \in (x_{i-1}-x_{i}] \] the getDefaultFactors method of this class calculates for a given argument \( (t,x) \):
    the effective survival probability
    \[ \frac{1}{x} \int_{a}^{a+x} q(\xi) \mathrm{d}\xi \], where a denotes the current level of fund provided by this capacity, and
    the effective default compensation factor R, such that
    \[ \frac{1}{x} \int_{a}^{a+R x} q(\xi) \mathrm{d}\xi \ = \ 1 \],
    Important: since the class keeps track of past fundings used, it is mandatory that the factors are calculated in time-sequential order.
    Christian Fries
    See Also:
    Serialized Form