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XvaRisk

XVA sensitivity, stress testing, P&L explain, CVA Capital (SA-CVA and BA-CVA).

Official readme: readme.md

input

• collateralbalances.xml
• conventions.xml
• counterparty.xml
• curveconfig.xml
• fixings.csv
• market_20160205_eonia_200bp_up.txt
• market_20160205_eur6m_200bp_up.txt
• marketdata.csv
• netting.xml
• ore_amc_shifted_eonia.xml
• ore_amc_shifted_eur6m.xml
• ore_bacva.xml
• ore_explain.xml
• ore_sacva.xml
• ore_sensi_amc.xml
• ore_sensi_classic.xml
• ore_stress_amc.xml
• ore_stress_classic.xml
• portfolio_explain.xml
• portfolio_sensi.xml
• portfolio_stress.xml
• pricingengine.xml — engines for 30 product types: BermudanSwaption, Bond, CMS, CMSSpread, CMS_DEACTIVATED, CPICapFloor, CapFloor, CapFlooredIborLeg, CapFlooredYYLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommoditySwap, CommoditySwaption, CpiCapFloor, CreditDefaultSwap, CreditDefaultSwapOption, CrossCurrencySwap, EquityForward, EquityOption, EquityOptionAmerican, EuropeanSwaption, ForwardBond, FxForward, FxOption, FxOptionAmerican, Swap, YYCapFloor
• pricingengine_amc.xml — engines for 7 product types: BermudanSwaption, CMS, CapFlooredIborLeg, CrossCurrencySwap, FxOption, MultiLegOption, Swap
• sensitivity.xml
• sensitivity_explain.xml
• simulation.xml
• simulation_explain_xva.xml
• simulation_xva.xml
• stresstest.xml
• todaysmarket.xml
• xvaexplainmarket.xml
• xvasensimarket.xml
• xvastressmarket.xml