[Quantlib-users] CVA Modelling for IRS for £ IRS

[Ash_Mohan]

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!



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[Akshat Mohan]

This is amazing! Thanks a lot Niall!

Now I just need to worry about inflation swaps... Unless you are aware of
any other programmes?

Hi Ash,
ORE, written on-top of QuantLib and open source, can calculate CVA for
Swaps and a whole lot more.
http://www.opensourcerisk.org/
https://github.com/OpenSourceRisk/Engine
Examples 1 & 2 cover vanilla swaps.
Regards,
Niall
Hi all,
Wondering if anyone has managed to produce a CVA Model for £ IRS?
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!
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View this message in context: http://quantlib.10058.n7.
nabble.com/CVA-Modelling-for-IRS-for-IRS-tp18280.html
Sent from the quantlib-users mailing list archive at Nabble.com.
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[Niall O'Sullivan]

Hi,

Glad you like it, OREv2 contains inflation swap pricing, all using QuantLib instruments (CPI and YoY), we have recently added a Dodgson Kainth model for inflation RFE and v3 will contain full inflation CVA.

If you don’t want to hijack the QL mailing list, feel free to post questions here
http://www.opensourcerisk.org/forum/ <http://www.opensourcerisk.org/forum/>

Regards,
Niall

Post by Akshat Mohan
This is amazing! Thanks a lot Niall!
Now I just need to worry about inflation swaps... Unless you are aware of any other programmes?
Hi Ash,
ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more.
http://www.opensourcerisk.org/ <http://www.opensourcerisk.org/>
https://github.com/OpenSourceRisk/Engine <https://github.com/OpenSourceRisk/Engine>
Examples 1 & 2 cover vanilla swaps.
Regards,
Niall

Post by Ash_Mohan
Hi all,
Wondering if anyone has managed to produce a CVA Model for £ IRS?
https://ipythonquant.wordpress.com/2015/04/08/expected-exposure-and-pfe-simulation-with-quantlib-and-python/ <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!
--
View this message in context: http://quantlib.10058.n7.nabble.com/CVA-Modelling-for-IRS-for-IRS-tp18280.html <http://quantlib.10058.n7.nabble.com/CVA-Modelling-for-IRS-for-IRS-tp18280.html>
Sent from the quantlib-users mailing list archive at Nabble.com.
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