[R-SIG-Finance] CVA for swaps

Keith S Weintraub kw1958 at gmail.com
Sat Apr 26 14:24:16 CEST 2014


Folks,

I was wondering if any of you have any pointers to *an* implementation or the *best* implementation of CVA for an interest rate swap?

Do they look at the correlation between interest rates and credit?

Thanks for your time,
KW

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