nablatensor-cva

com.nablatensor

nablatensor-cva is a Java jar artifact published under the com.nablatensor group on Maven Central. 4 versions are indexed here. Select a version below for Maven, Gradle and SBT snippets plus CVE data.

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Add to your project0.1.0

<dependency>
    <groupId>com.nablatensor</groupId>
    <artifactId>nablatensor-cva</artifactId>
    <version>0.1.0</version>
</dependency>

Version Details — 0.1.0

Packaging
jar
Direct Deps
0
Total Deps
0
Published
Unknown
License
Unknown

CVA risk capital (Phase 2): a Monte-Carlo netting-set exposure engine on the adjoint tape, unilateral CVA whose full risk vector — IR, counterparty CS01, recovery — comes off one reverse sweep, plus BA-CVA (reduced and full with CDS hedges), SA-CVA (sensitivities-based charge on the shared NestedAggregation), a collateral model (VM threshold / MTA / MPoR), and the three PRA standardised methods.

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