Docs / quant-cva / com.nablatensor.cva

final class

NettingSet

A set of trades with one counterparty under a single master agreement, with an optional CSA. Exposure and CVA are computed at this level — the trades net.

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Methods

static NettingSetBuilder of()

String id()

CreditName counterparty()

List<CvaTrade> trades()

CollateralAgreement collateral()

double grossNotional()

double horizonYears()

The latest cash-flow date across the trades — the simulation horizon.

double effectiveMaturityYears()

Notional-weighted effective maturity, the M_c the BA-CVA supervisory discount factor and risk weight are applied to.