CvaTrade

One trade in a netting set, able to mark itself to market on a simulated path at any grid date. The MtM is written in plain ADouble arithmetic so it records onto the same tape as the exposure simulation and one adjoint sweep differentiates the whole netting-set CVA.

The set is sealed: InterestRateSwap and FxForward are the two Phase-2 instrument types. Add a permit and an implementation to cover another product; nothing else in the module changes.

View source ↗Full module reference on javadoc.io ↗

Methods

String id()

Identifier, unique within a netting set.

double grossNotional()

Gross notional in reporting currency, for the residual-risk and BA-CVA inputs.

double effectiveMaturityYears()

Latest cash-flow date in years — the trade's contribution to netting-set maturity.

ADouble markToMarket(Path path, double t)

On-tape mark-to-market at time t, in reporting currency, on the given path.