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

R Packing Calculating Credit Risk Valuation Adjustments

Part of the Neutryx Lab ecosystem for differentiable finance.

XVA Calculations with QuantLib

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

XVA Principles, Nested Monte Carlo Strategies, and GPU Optimizations

Derivative Valuation & Fair Value Adjustment (XVA) Toolkit: OOP instrument hierarchy, Black-Scholes, Monte Carlo, DCF, yield curve bootstrapping, Greeks/DV01 sensitivities, and FVA/CVA/Bid-Offer reserves.

Educational desktop app that teaches OTC derivatives counterparty-credit underwriting end to end: Monte Carlo exposure (EE/PFE), CVA/DVA/FVA, CSA collateral, limits, and an underwriting memo — plus a guided role-play simulator. PySide6/Qt6, runs offline on synthetic data.

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

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

Illustrative Jupyter notebooks covering yield curves, fixed income, derivatives, XVA, Monte Carlo simulation, and quantitative risk analytics.

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