CvaResult

The output of one ExposureSimulation run: the unilateral CVA, its Monte-Carlo standard error, the expected-exposure profiles, the full CVA gradient from a single adjoint sweep, and timing.

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Record components

value: double
standardError: double
market: CvaMarket
epeProfile: TimeProfile
eeProfile: TimeProfile
gradient: CvaMarket
sweepSeconds: double
buildSeconds: double
scenariosPerSecond: double
scenarios: long
engine: String

Methods

double expectedPositiveExposure()

Plain time-average expected positive exposure over the profile.

double peakExpectedExposure()

Peak expected positive exposure across the profile.

double effectiveExpectedPositiveExposure()

Basel effective EPE: the time-average of the non-decreasing envelope of the EPE profile over [0, min(1yr, horizon)].