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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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Hi Ash,
ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more. Examples 1 & 2 cover vanilla swaps. Regards, Niall
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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:
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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 Regards, Niall
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