Deep xVA Solver in TensorFlow (2.0)
Currently we offer two examples from the paper. We compute the exposure of:
- A forward on a single underlying.
- A basket call option on 100 underlyings.
- Recursive Computation of FVA on a forward
- Recursive Computation of BCVA on a basket call with 100 underlyings.
To run the examples, simply rung the associated scripts
- forward.py
- basketCall.py
- fvaForward.py
- basketCallWithCVA.py
We are grateful to Chang Jiang for the help in the conversion of our code base from Tensorflow 1.x to Tensorflow 2.2.
[1] Gnoatto, A., Picarelli, A., and Reisinger, C. Deep xVA solver - A neural network based counterparty credit risk management framework. [arXiv]