CVA Modelling for counter-party credit Risk in quantlib

[Theo Boafo]

Hi Alexander,

Please I saw your thread on CVA modelling. Is this functionality already in Quantlib or u are using the python code and some function calls to Quantlib to do the monte carlo in Quantlib.  I am trying to understanding which bits of the CVA is in Quantlib and which bit is from your python code.

from your previous thread

"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/"

Regards

Theo

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[stephan buschmann]

Hi Alexander,

of course, you can use a lot of functionalities provided by QuantLib.

A basic approach could be the following:

- select propper processes to model your underlyings

- generate correlated scenarions

- do a forward evaluation on each scenario

- evaluate the statistics of all paths.

All those features come with QuantLib.

 The client code shall handle

- portfolio informations (like counterparty, etc), deal aging, netting, market data handling.

stephan

On Tue, Mar 18, 2014 at 3:39 PM, Theo Boafo <[hidden email]> wrote:

Hi Alexander,

Please I saw your thread on CVA modelling. Is this functionality already in Quantlib or u are using the python code and some function calls to Quantlib to do the monte carlo in Quantlib.  I am trying to understanding which bits of the CVA is in Quantlib and which bit is from your python code.

from your previous thread

"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/"

Regards

Theo

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http://p.sf.net/sfu/13534_NeoTech
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"Graph Databases" is the definitive new guide to graph databases and their
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