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…
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Tag: counterparty credit risk
Simple Derivatives CVA Calculation Example (credit valuation adjustment) excel
Here we show simplest method called current net exposure for more elaborated Monte-Carlo method using python see CVA with monte carlo calculation for online interest rate swaps and OTC derivatives valuation with CVA see Derivatives accounting calculators CVA calculation online…
Posted in OTC derivatives valuation Tagged with: counterparty credit risk, credit risk, credit risk modelling, cva