xva
Here are 13 public repositories matching this topic...
Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning
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Feb 28, 2026 - Jupyter Notebook
R Packing Calculating Credit Risk Valuation Adjustments
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Oct 17, 2022 - R
Part of the Neutryx Lab ecosystem for differentiable finance.
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Mar 30, 2026 - Python
XVA Principles, Nested Monte Carlo Strategies, and GPU Optimizations
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May 5, 2024 - C++
Wrong-Way Risk (WWR) estimation for counterparty credit risk - a minimal, hexagonal, numpy-only Python library (CVA, alpha multiplier, Hull-White & copula models).
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Jun 2, 2026 - Python
Open model validation, monitoring, stress testing and risk analytics workflows in Python.
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Jul 10, 2026 - Python
Institutional-grade derivatives pricing and risk. Open source. IRS · Swaptions · XVA · SABR vol surface · Joint rate+vol scenarios.
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Apr 26, 2026 - JavaScript
Illustrative Jupyter notebooks covering yield curves, fixed income, derivatives, XVA, Monte Carlo simulation, and quantitative risk analytics.
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Jun 2, 2026 - Jupyter Notebook
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.
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Jul 9, 2026 - Python
Python pricing library built on QuantLib: curves, fixed income, derivatives, exotic options, stochastic simulation, and XVA.
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Jun 2, 2026 - Python
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