CvaRiskFactors

The regulatory keys the CVA sensitivities of one netting set map onto: the reporting-currency interest-rate curve, the counterparty credit-spread bucket, and the FX pair. Used by SaCvaSensitivities to turn a CvaMarket gradient into a bucketed Sensitivities vector.

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Record components

currency: String
counterparty: CreditName
fxPair: String

Methods

RiskFactor irDelta()

RiskFactor irVega()

RiskFactor counterpartySpreadDelta(int bucketVertex)

RiskFactor fxDelta()

RiskFactor fxVega()

String counterpartyBucket()

SA-CVA counterparty credit-spread bucket id from the counterparty sector (MAR50.10, indicative).

static int creditSpreadVertexCount()