xva

Utility libraries to interact with discs, filesystem formats and more

Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning

R Packing Calculating Credit Risk Valuation Adjustments

Part of the Neutryx Lab ecosystem for differentiable finance.

XVA Calculations with QuantLib

Wrong-Way Risk (WWR) estimation for counterparty credit risk - a minimal, hexagonal, numpy-only Python library (CVA, alpha multiplier, Hull-White & copula models).

Extract IMG disk images from XVA files

XVA Principles, Nested Monte Carlo Strategies, and GPU Optimizations

Derivative Valuation & Fair Value Adjustment (XVA) Toolkit: OOP instrument hierarchy, Black-Scholes, Monte Carlo, DCF, yield curve bootstrapping, Greeks/DV01 sensitivities, and FVA/CVA/Bid-Offer reserves.

Illustrative Jupyter notebooks covering yield curves, fixed income, derivatives, XVA, Monte Carlo simulation, and quantitative risk analytics.

End-to-end Python pipeline for derivatives valuation, valuation adjustments, funding valuation adjustment (FVA), and portfolio reporting using NSE NIFTY option-chain data.

Open model validation, monitoring, stress testing and risk analytics workflows in Python.

Institutional-grade derivatives pricing and risk. Open source. IRS · Swaptions · XVA · SABR vol surface · Joint rate+vol scenarios.

L'ajustement de valeur pour risque de contrepartie bilatéral sur des swaps de taux : les 42 cellules de Brigo, Pallavicini et Papatheodorou reproduites à moins de trois erreurs types

Educational desktop app that teaches OTC derivatives counterparty-credit underwriting end to end: Monte Carlo exposure (EE/PFE), CVA/DVA/FVA, CSA collateral, limits, and an underwriting memo — plus a guided role-play simulator. PySide6/Qt6, runs offline on synthetic data.

Python pricing library built on QuantLib: curves, fixed income, derivatives, exotic options, stochastic simulation, and XVA.

Counterparty credit exposure and CVA engine: Hull-White 1F Monte Carlo for a netted swap portfolio under a CSA, with a martingale-validated simulation