Docs / quant-cva / com.nablatensor.cva

final class

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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Methods

static CvaResultBuilder of()

double value()

double standardError()

CvaMarket market()

TimeProfile epeProfile()

TimeProfile eeProfile()

CvaMarket gradient()

double sweepSeconds()

double buildSeconds()

double scenariosPerSecond()

long scenarios()

String engine()

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)].