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CreditRisk
Credit Portfolio Model, Derivatives Credit Risk Capital (SA-CCR).
Official readme: readme.md
Files
input
input/creditportfoliomodel
- creditsimulation.xml
- creditsimulation1.xml
- creditsimulation100.xml
- creditsimulation2.xml
- creditsimulation3.xml
- creditsimulation3_ts.xml
- creditsimulation4.xml
- curveconfig.xml
- netting.xml
- portfolio.xml
- portfolio1.xml
- portfolio100.xml
- portfolio2.xml
- portfolio3.xml
- portfolio4.xml
- pricingengine.xml — engines for 12 product types:
BermudanSwaption, Bond, CapFloor, CapFlooredIborLeg, CreditDefaultSwap, CrossCurrencySwap, EuropeanSwaption, FxForward, FxOption, Swap, XXXBond, XXXCreditDefaultSwap
- simulation.xml
- todaysmarket.xml
input/sa-ccr