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Add collateral modelling and CVA/DVA calculation #57

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merged 4 commits into from
Dec 27, 2023

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sschlenkrich
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This PR adds adds collateral modelling as well as CVA/DVA analytics.

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Codecov Report

Attention: 2 lines in your changes are missing coverage. Please review.

Comparison is base (1753f67) 98.77% compared to head (b63b25a) 98.74%.

Files Patch % Lines
...rmstructures/credit/CreditDefaultTermstructures.jl 90.00% 2 Missing ⚠️
Additional details and impacted files
@@            Coverage Diff             @@
##             main      #57      +/-   ##
==========================================
- Coverage   98.77%   98.74%   -0.03%     
==========================================
  Files          59       61       +2     
  Lines        3107     3195      +88     
==========================================
+ Hits         3069     3155      +86     
- Misses         38       40       +2     

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@sschlenkrich sschlenkrich merged commit 41f5d6c into frame-consulting:main Dec 27, 2023
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@sschlenkrich sschlenkrich deleted the wip/xva-analytics branch December 27, 2023 10:40
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3 participants