Deep xVA Solver in TensorFlow (2.0)

How to run the examples

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

Aknowledgements.

We are grateful to Chang Jiang for the help in the conversion of our code base from Tensorflow 1.x to Tensorflow 2.2.

Dependencies

• TensorFlow >=2.0

Reference

[1] Gnoatto, A., Picarelli, A., and Reisinger, C. Deep xVA solver - A neural network based counterparty credit risk management framework. [arXiv]