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

Quantitative finance library in Rust for derivatives pricing, curve bootstrapping, risk factor simulations, and XVA, all with AD support.

R Packing Calculating Credit Risk Valuation Adjustments

Stochastic path simulation, derivatives pricing and risk analytics in Python: Heston, Hull-White, G2++, CIR, Merton, SABR, Monte Carlo pricing, exposure/CVA and backtesting.

Part of the Neutryx Lab ecosystem for differentiable finance.

XVA Calculations with QuantLib

Portfolio risk an AI agent can drive and a person can read. Historical VaR and Expected Shortfall, signed linear exposure, explicit stress scenarios, counterparty exposure and XVA through a local ORE project. 4 MCP tools, 5 skills, a local dashboard and a hosted service. Research software, not investment advice. Noncommercial licence.

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

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

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

XVA Principles, Nested Monte Carlo Strategies, and GPU Optimizations

Swap book valuation and daily P&L attribution (carry, roll-down, key-rate curve moves) on a Treasury-bootstrapped curve, plus historical CVA with wrong-way risk

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.

Counterparty credit risk, xVA and ALM from public data — exposure simulation, SA-CCR, PD scorecards, CVA with wrong-way risk, mortgage prepayment and hedge sizing. Every number in the README traces to the script that produced it.

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

Fork of Open Source Risk Engine (ORE) for upstream contributions: fix for #366, GaussianCam barrier probability for inverted FX indices

Monte Carlo counterparty credit risk engine: Hull-White exposure simulation, EE/PFE, unilateral CVA, netting and collateral (CSA) for an interest-rate swap portfolio.