CVA Modelling for counter-party credit Risk in quantlib

[LN]

Hi All,

any one experimented with combining Quantlib Interest rate models for scenario generation to get CVA VaR metric ?

how do you price a single vanilla swap off  'N' scenarios generated by Libor Market Model ?

[andrnev]

I'm interested in this too.

[alex belyakov]

hi here I give simple example in python how to price swap for N scenarios using hull white model .

http://www.pricederivatives.com/en/derivatives-cva-example-monte-carlo-python/

On Sun, Mar 9, 2014 at 10:13 PM, andrnev <[hidden email]> wrote:

I'm interested in this too.



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Regards,
Alex

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[LN]

Thanks Alex,will check it out .