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Exp(bonds) an(bonds, axis0) #plot(T,bondsmean) #plot(T,crvToday.
After 3) to approximate CVA we new age performance coupon code will use basel III formula for regulatory capital charge approximating default probability or survival probability as exp(-ST 1-R) so we get where is discounted Expected exposure of portfolio.
Exp(-a*T) gamma_v(T) -gamma(0.
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In the second test example below well take full curve.

Discount(TiT) for iT in xrange(len(T) #show startDateDate(26,12,2013 crvMat 0 for i in xrange(len(T) for iSim in range(Nsim) npvMat 0 for i in xrange(len(T) for iSim in range(Nsim) for row in crvMat: row0crvToday for iT in xrange(1,len(T for iSim in xrange(Nsim crvDateDatesiT; for k in xrange(1,21).Here well show an example of code for CVA calculation (credit valuation adjustment) using python and.Zeros(len(t) for i in xrange(len(t resigamma(ti) return res.To generate future values of first we will generate matrix of standard normal variables using numpy library function ter that we will apply transform to get after getting matrix of all for all simulations and time points we will construct yield curve for each using.Rates including buffet breakfast are also available.From QuantLib import * import numpy as np from math import * from pylab import * def A(t,T stance.evaluationDate forward rwardRate(t, t,Continuous, NoFrequency).rate value B(t,T forward - return def B(t,T return (1.0-exp(-a T-t a; def gamma(t forwardRate rwardRate(t, t, Continuous, NoFrequency).rate temp sigma.0.Sqrt(rvar) ed(1) stdnorm rmat 0r0 for iSim in xrange(Nsim for iT in xrange(1,len(T #if (rnew 0 rnew0.001 rmatiSim, iTrnew ape) #E(E(exp(rt)ti) test for iSim in xrange(Nsim for iT in xrange(1,len(T bonds-bonds; bondsnp.Package includes: Accommodation in a Fairmont double room .This promotion is available only for bookings made until.1) Hull-White model for future yield curve simulations the model is given by dynamics: We will use that in Hull White model short rate is distributed normally with mean and variance given by where and is instantaneous forward rate at time t as seen.