CVA Modelling for IRS for £ IRS

[Ash_Mohan]

Hi all,

Wondering if anyone has managed to produce a CVA Model for £ IRS?

The one posted by Matthias Groncki here: https://ipythonquant.wordpress.com/2015/04/08/expected-exposure-and-pfe-simulation-with-quantlib-and-python/ does so for € IRS but I am struggling to modify it for £ IRS.

Any help would be greatly appreciated, really struggling.

Thank!

[Niall O'Sullivan-2]

Hi Ash,

ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more.

http://www.opensourcerisk.org/

https://github.com/OpenSourceRisk/Engine

Examples 1 & 2 cover vanilla swaps.

Regards,
Niall

On 16 May 2017, at 11:48, Ash_Mohan <[hidden email]> wrote:

Hi all,

Wondering if anyone has managed to produce a CVA Model for £ IRS?

The one posted by Matthias Groncki here:
https://ipythonquant.wordpress.com/2015/04/08/expected-exposure-and-pfe-simulation-with-quantlib-and-python/
does so for € IRS but I am struggling to modify it for £ IRS.

Any help would be greatly appreciated, really struggling.

Thank!



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[Ash_Mohan]

This is amazing! Thanks a lot Niall! 

Now I just need to worry about inflation swaps... Unless you are aware of any other programmes?

On 17 May 2017 10:26, "Niall O'Sullivan" <[hidden email]> wrote:

Hi Ash,

ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more.

http://www.opensourcerisk.org/

https://github.com/OpenSourceRisk/Engine

Examples 1 & 2 cover vanilla swaps.

Regards,
Niall

On 16 May 2017, at 11:48, Ash_Mohan <[hidden email]> wrote:

Hi all,

Wondering if anyone has managed to produce a CVA Model for £ IRS?

The one posted by Matthias Groncki here:
https://ipythonquant.wordpress.com/2015/04/08/expected-exposure-and-pfe-simulation-with-quantlib-and-python/
does so for € IRS but I am struggling to modify it for £ IRS.

Any help would be greatly appreciated, really struggling.

Thank!



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[Niall O'Sullivan-2]

Hi,

Glad you like it, OREv2 contains inflation swap pricing, all using QuantLib instruments (CPI and YoY), we have recently added a Dodgson Kainth model for inflation RFE and v3 will contain full inflation CVA.

If you don’t want to hijack the QL mailing list, feel free to post questions here

http://www.opensourcerisk.org/forum/

Regards,
Niall

On 17 May 2017, at 11:34, Akshat Mohan <[hidden email]> wrote:

This is amazing! Thanks a lot Niall! 

Now I just need to worry about inflation swaps... Unless you are aware of any other programmes?

On 17 May 2017 10:26, "Niall O'Sullivan" <[hidden email]> wrote:

Hi Ash,

ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more.

http://www.opensourcerisk.org/

https://github.com/OpenSourceRisk/Engine

Examples 1 & 2 cover vanilla swaps.

Regards,
Niall

On 16 May 2017, at 11:48, Ash_Mohan <[hidden email]> wrote:

Hi all,

Wondering if anyone has managed to produce a CVA Model for £ IRS?

The one posted by Matthias Groncki here:
https://ipythonquant.wordpress.com/2015/04/08/expected-exposure-and-pfe-simulation-with-quantlib-and-python/
does so for € IRS but I am struggling to modify it for £ IRS.

Any help would be greatly appreciated, really struggling.

Thank!



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