CvaHedge

A CVA credit hedge recognised by BA-CVA (full version, MAR50.6) and SA-CVA. A single-name CDS references one counterparty and gets a correlation r_hc to it (1.0 for the same legal entity, ~0.8 for a legally related name, ~0.5 for a same-sector proxy); an index CDS hedges the portfolio and is recognised through the IH term.

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Record components

kind: Kind
referenceId: String
notional: double
maturityYears: double
riskWeight: double
correlation: double

Methods

static CvaHedge singleName(String counterpartyId, double notional, double maturityYears, double riskWeight, double correlation)

static CvaHedge index(double notional, double maturityYears, double riskWeight)

double supervisoryDiscount()

Supervisory discount factor (1 - e^{-0.05 M}) / (0.05 M).

double discountedWeightedNotional()

RW_h * M_h * B_h * DF_h — the hedge's contribution magnitude.