Here we’ll show an example of code for CVA calculation (credit valuation adjustment) using python and Quantlib with simple Monte-Carlo method with portfolio consisting just of a single interest rate swap.It’s easy to generalize code to include more financial instruments…
![[<<] PriceDerivatives blog](http://www.pricederivatives.com/en/wp-content/uploads/2014/03/cropped-pricederivatives-blog-logo-Copy3.png){kind=logo}
Tag: swap
how to value Eonia swap
what is an EONIA swap (call money swap)? it’s a swap where we exchange fixed rate for variable rate calculated with dayly EONIA rate (Euro OverNight Index Average) the payments are based on average EONIA rate , which corresponds to…
hedge effectiveness testing – hedge accounting
What is a hedge effectiveness testing? it’s a numerical test in hedge accounting to determine if hedging financial instrument effectively hedges underlying loan. In case when hedge is effective company can apply “hedge accounting” and would not be obliged to…
Posted in hedge accounting Tagged with: derivative accounting, hedge accounting, ias 39, ifrs, interest rate hedging, interest rate swap, otc derivatives, swap
OIS discounting
Swap valuation with OIS discounting OIS-discounting (from Overnight Indexed Swap) is a derivatives valuation method considering multiple curves (and not one as before) for discounting and for projecting future cash flows.It’s used for collateralized derivatives. CSA (Credit Support Annex) its…
why discount collaterized swaps with EONIA?
the collateral at every moment must coincide with value mark-to-market of swap let’s take as a example simple swap with just one cashflow , which pays 100 euros at time T [it has no variable leg] at time T swap’s…
how to caclulate fair value of interest rate swap
how to caclulate fair value of interest rate swap Online Interest Rate Swap Calculator tipical example of interest rate swap contract between A and B: example of swap init date: 1/5/2012 maturity date: 1/5/2014 notional: 1 000 000 Eur payments:…
