CVA/DVA Pricing with F3
While having the ability to calculate Credit Value Adjustment (CVA) or Debt Value Adjustment (DVA) on your portfolio is important, it can be quite difficult to achieve. However, with FINCAD's solution, you can calculate CVA (or DVA) on any trade or netting set.
F3's innovative approach to CVA pricing treats it as a specific calculation application, in principle no different from pricing complex derivatives. This allows CVA to be calculated using the same models and generic Monte Carlo pricing engine as for any other exotic trade. The generic design can handle all types of financial contracts.
Get the Speed You Need - Faster Calculations
We all know that performance matters and with F3 you get the speed you need to price CVA on a wide range of instruments. F3 leverages software optimization techniques like lazy evaluation and object re-use that will provide fast calculations.
|Any trade or netting set||
|Netting & Collateral||
|Wrong Way Risk||
To find out more about CVA, request a customized demonstration.