Question on Amortizing Swap and CVA

[Yuan Zhou]

I'm a new user of Quantlib, and would like to know what is the best way to construct & value amortizing swap using Quantlib? Secondly, is there a module dealing with CVA for derivative?

Thank you very much.

--
Yuan Zhou
Director
Riverside Risk Advisors LLC
p 646-283-1478
www.riversideadvisors.com

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[Luigi Ballabio]

On Mon, 2010-09-27 at 18:20 -0400, Yuan Zhou wrote:
> I'm a new user of Quantlib, and would like to know what is the best
> way to construct & value amortizing swap using Quantlib?

At this time, you'll have to build the two legs manually.  You can use
FixedRateLeg and IborLeg to build the coupon payments with decreasing
notionals; then you can append pointers to SimpleCashFlow to model the
notional payments.  Once you have the two legs, you can use them to
build a Swap instance.

>  Secondly, is there a module dealing with CVA for derivative?

Not yet.  If that's enough for you, you can add a spread to your
discount curve with the ForwardSpreadedTermStructure class.

Luigi


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