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CVA Modelling for IRS for £ IRS

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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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Re: CVA Modelling for IRS for £ IRS

Niall O'Sullivan-2
Hi Ash,

ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more.
Examples 1 & 2 cover vanilla swaps.

Regards,
Niall

On 16 May 2017, at 11:48, Ash_Mohan <[hidden email]> wrote:

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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Re: CVA Modelling for IRS for £ IRS

Ash_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?





On 17 May 2017 10:26, "Niall O'Sullivan" <[hidden email]> wrote:
Hi Ash,

ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more.
Examples 1 & 2 cover vanilla swaps.

Regards,
Niall

On 16 May 2017, at 11:48, Ash_Mohan <[hidden email]> wrote:

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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Re: CVA Modelling for IRS for £ IRS

Niall O'Sullivan-2
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

Regards,
Niall

On 17 May 2017, at 11:34, Akshat Mohan <[hidden email]> wrote:

This is amazing! Thanks a lot Niall! 

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





On 17 May 2017 10:26, "Niall O'Sullivan" <[hidden email]> wrote:
Hi Ash,

ORE, written on-top of QuantLib and open source, can calculate CVA for Swaps and a whole lot more.
Examples 1 & 2 cover vanilla swaps.

Regards,
Niall

On 16 May 2017, at 11:48, Ash_Mohan <[hidden email]> wrote:

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!



--
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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engaging tech sites, Slashdot.org! http://sdm.link/slashdot
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