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mattdd
Topic Author
Posts: 5
Joined: February 22nd, 2018, 2:41 pm

Are there software to compute Initial Margin and MVA and other xVAs?

March 1st, 2018, 11:35 am

I have been looking into Matlab, R, Python, but couldn't find any toolbox for computing IM, MVA, xVA for OTC derivatives...

Could anybody please point me to some software which can compute these values?

Thanks!
 
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rmax
Posts: 374
Joined: December 8th, 2005, 9:31 am

Re: Are there software to compute Initial Margin and MVA and other xVAs?

March 1st, 2018, 12:13 pm

For IM I assume you mean the SIMM. I'm not sure if anyone has implemented an open source/free version of the implementation for that. Strictly speaking you need the license from ISDA to use it, so you might need to implement it yourself.

MVA is my question as it is a very difficult calculation.

xVA there are numerous commercial offerings for this calculation. If you want a commercial offering I can PM you a contact or two. I get the impression from the post though you are looking for something free or a toy to play with to understand it better. 
 
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BigAndyD
Posts: 27
Joined: July 10th, 2013, 12:32 pm

Re: Are there software to compute Initial Margin and MVA and other xVAs?

March 2nd, 2018, 9:42 am

I have no affiliation or have any experience using the system but a quick google search threw this up -

https://www.clarusft.com/products/charm/

I don't expect it is free though.
 
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agnoatto
Posts: 12
Joined: November 23rd, 2011, 8:12 am

Re: Are there software to compute Initial Margin and MVA and other xVAs?

April 2nd, 2018, 8:32 am

Hi,

For xVA I would suggest the "Open Source Risk Engine" by Quaternion. It is based on Quantlib.

If ISDA Simm is the thing you need then you might be interested in the free implementation of ISDA Simm by Acadia Soft https://github.com/AcadiaSoft/simm-lib This library is written in Java. In consequence I allow myself to promote the use of the finmath Java library https://github.com/finmath that provides also Adjoint Algorithmic Differentiation capabilities. I think this is a good starting pont.
Prof Alessandro Gnoatto, PhD
Department of Economics
University of Verona
Via Cantarane 24 - 37129 Verona - Italy
37129, Verona, Italy