Docs / quant-cva / com.nablatensor.cva
final class
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.
Methods
static CvaHedgeBuilder of()
KindEnum kind()
String referenceId()
double notional()
double maturityYears()
double riskWeight()
double correlation()
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.