[Quantlib-users] CVA Modelling for counter-party credit Risk in quantlib

[Theo B. <tb...@ao...>]

Hi Alexander,


Please I saw your thread on CVA modelling. Is this functionality already in Quantlib or u are using the python code and some function calls to Quantlib to do the monte carlo in Quantlib.  I am trying to understanding which bits of the CVA is in Quantlib and which bit is from your python code.


from your previous thread
"hi here I give simple example in python how to price swap for N scenarios using hull white model .
http://www.pricederivatives.com/en/derivatives-cva-example-monte-carlo-python/"


Regards


Theo