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Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633

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Deep xVA Solver in TensorFlow (2.0)

How to run the examples

Currently we offer two examples from the paper. We compute the exposure of:

  • A forward on a single underlying.
  • A basket call option on 100 underlyings.
  • Recursive Computation of FVA on a forward
  • Recursive Computation of BCVA on a basket call with 100 underlyings.

To run the examples, simply rung the associated scripts

  • forward.py
  • basketCall.py
  • fvaForward.py
  • basketCallWithCVA.py

Aknowledgements.

We are grateful to Chang Jiang for the help in the conversion of our code base from Tensorflow 1.x to Tensorflow 2.2.

Dependencies

Reference

[1] Gnoatto, A., Picarelli, A., and Reisinger, C. Deep xVA solver - A neural network based counterparty credit risk management framework. [arXiv]

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Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633

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