CVA Modelling for IRS for £ IRS

Posted by Ash_Mohan on May 16, 2017; 10:48am
URL: http://quantlib.414.s1.nabble.com/CVA-Modelling-for-IRS-for-IRS-tp18280.html

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!