Docs / nablatensor-cva / com.nablatensor.cva

record

CvaCapital

The full CVA picture for a portfolio of netting sets: the exposure-simulation result per netting set, the aggregated CVA risk vector from the adjoint sweeps, and the BA-CVA and SA-CVA capital charges.

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Record components

cvaValue: double
perNettingSet: List<CvaResult>
aggregateSensitivities: Sensitivities
baCva: BaCvaResult
saCva: SaCvaResult
sweepSeconds: double
bumpRevaluations: int

Methods

Map<String, Double> scvaByCounterparty()

SCVA_c contributions behind the BA-CVA reduced charge.