Download this Complimentary Numerix Quantitative Research Paper

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. It is based on a “thin-out” procedure applied to fixed payment streams, which reduces a very frequent stream of payments to a much less frequent one.

The procedure requires careful handling of the path-dependence that arises from the floating legs of the swaps. We compute the exposure and CVA for a large portfolio of fixed-for-floating swaps, and find that our approximation reduces the computation time for the portfolio to that of a single swap, with a roughly annual schedule. Moreover, the approximation maintains a particularly high accuracy.

Our technique is entirely model independent and can be applied to various instruments such as FX-forwards, cross-currency swaps etc.

Authors: Alexandre Antonov and Dominic Brecher

Download Numerix Research Paper

Complete the form below to download this complimentary research paper.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
white paper

White paper | The Current State of XVA Usage in Latin America

news - article pdf - Jul 20, 2020

Numerix - Data and Analytics Vendor of the Year : GlobalCapital’s Americas Derivatives Awards 2020

news - article pdf - Apr 24, 2020

Women in Technology and Data Awards 2020: Vendor professional of the year (trading and risk) |...

product

Oneview for Capital

newsletter issue - Dec 11, 2019

Thinking Derivatively - December 2019 Issue

video blog

Numerix: Pushing Boundaries to Create Breakthrough Technology

video blog

What is Numerix Oneview?

newsletter issue - Nov 5, 2019

Thinking Derivatively - November 2019 Issue

white paper

White paper | Talking XVA: Pace of Adoption, New Technology & Cloud

newsletter issue - Oct 8, 2019

Thinking Derivatively - October 2019 Issue

on-demand webinar

On-Demand Webinar | Evolving XVAs: How to Manage Changing Regulation and Competitive Pricing

conference presentation

Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration