Cva

The Phase-2 assembler: from a set of netting sets and a market, run the exposure simulation per netting set (one adjoint sweep each), net the CVA sensitivities, and compute both the BA-CVA and SA-CVA capital charges.

CvaCapital capital = Cva.of(market)
    .add(nettingSetA, riskFactorsA)
    .add(nettingSetB, riskFactorsB)
    .hedge(CvaHedge.singleName("CPTY-A", 25e6, 5.0, 0.05, 1.0))
    .paths(500_000).steps(24).on("vulkan")
    .compute();

Calculators, not sign-off. This computes the numbers MAR50 / CRR3 Articles 383-384 ask for. Model validation, parameter attestation and regulatory submission stay with the user; the parameter tables in SaCvaParameters and BaCvaParameters are indicative demo values.

View source ↗Full module reference on javadoc.io ↗

Methods

static Cva of(CvaMarket market)

Cva add(NettingSet nettingSet, CvaRiskFactors keys)

Cva hedge(CvaHedge hedge)

Cva steps(int steps)

Cva paths(long paths)

Cva seed(long seed)

Cva on(String engine)

Cva saCvaParameters(SaCvaParameters parameters)

Cva baCvaParameters(BaCvaParameters parameters)

CvaCapital compute()