TODO_TAGS_REVIEW

XVA / CVA Calculator

Monte Carlo XVA/CVA calculator. Simulates expected-exposure profiles for IRS, FX forwards, and CDS; computes CVA, DVA, FVA via discounted expected positive/negative exposure. Zero-egress.

Tool URL: https://ainumbers.co/chaingraph/qfa-04-xva-cva-calculator.html AP2/Policy Mandate export: yes

post/v1/tools/calculate_xva

Request

  • Base URL: https://ainumbers.co
  • URL: https://ainumbers.co/v1/tools/calculate_xva
  • Auth: none declared

Request body

cpyLGD_pctnumber required

Percentage value

cpyPD_pctnumber required

Percentage value

funding_bpsnumber required

Amount in basis points

instrumentunknown required
maturity_yearsunknown required
n_pathsnumber required
n_stepsnumber required
notionalunknown required
ownPD_pctnumber required

Percentage value

presetunknown required
rfr_pctnumber required

Percentage value

seedunknown
vol_pctnumber required

Percentage value

Response

Successful tool execution result

compliance_flagsstring[]
cvanumber
cva_basisstring
dvanumber
dva_basisstring
fvanumber
fva_basisstring
n_pathsinteger
n_stepsinteger
peak_epenumber
peak_epe_pct_notionalnumber
verdictstring
xvanumber
xva_risk_ratingstring

Changes

No recorded changes to this operation across all 1 revision of this API.