This is the source code for my Master Thesis on Credit Value Adjustment: Pricing Wrong Way Risk on Interest Rate Swaps. It is utilising functionality from QuantLib and works with the forked repo (the 'MasterThesis'-branch).
The project is build in Xcode 9.2 using version 1.22 of QuantLib and version 1.75.0 of Boost. It is a standard C++ command-line tool with following settings
| Setting | Value |
|---|---|
| Header Search Paths | /usr/local/include |
| Library Search Paths | /usr/local/lib |
| Other Linker Flags | -lQuantLib |
The interest rate is assume to follow either a Hull-White or G2++ model (HullWhite and G2 classes in QuantLib). The default intensity of the investor (bank) and the counterparty are assumed to follow the CIR++ model (ExtendedCoxIngersollRoss) with a constant recovery rate. CVA and DVA is calculated on a portfolio of vanilla swaps by Monte Carlo simulation using either Pseudo-Random (MersenneTwister) or Quasi-Random (Sobol) numbers. The results are exported to a csv-file and plotted in R. The code for the plots is in the Data-folder.