Docs / quant-cva / com.nablatensor.cva

final class

SaCvaParameters

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Methods

static SaCvaParametersBuilder of()

static SaCvaParameters demo()

double mCva()

Map<String,Double> creditSpreadRw()

double creditSpreadVegaRw()

double girrDeltaRw()

double girrVegaRw()

double fxDeltaRw()

double fxVegaRw()

double creditSpreadRho()

double creditSpreadGamma()

double fxGamma()

double deltaRiskWeight(RiskFactor f)

double vegaRiskWeight(RiskFactor f)

double withinBucketCorrelation(RiskClassEnum c)

double acrossBucketCorrelation(RiskClassEnum c)