Re: CVA Project in QuantLib

[Theo Boafo]

Hi Quantlib,

Is anyone working on a CVA Project in QuantLib?

Regards

Theo

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[japari]

Hi Theo,
There has been some proprietary solutions around it. Did you see the last QL meeting slides? There you can see some of the problems arising.
I have started to mess up on a section of the portfolio sub-problem. Only the joint default so far, though with random recoveries and arbitrary copulas. Everything else to be done; exposures, pricing engines, collateral, netting, ... (i.e. not much done)

Best
Pepe

----- Original Message -----

>
> Hi Quantlib,
>
>
> Is anyone working on a CVA Project in QuantLib?
>
>
> Regards
>
>
> Theo
>
>
>
>
> ------------------------------------------------------------------------------
> Want excitement?
> Manually upgrade your production database.
> When you want reliability, choose Perforce.
> Perforce version control. Predictably reliable.
> http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
Want excitement?
Manually upgrade your production database.
When you want reliability, choose Perforce
Perforce version control. Predictably reliable.
http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
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