Two structured series on interest rate modeling and XVA, built from first principles. Every formula derived, every chart reproducible, every code snippet verified.
All code snippets are tested against the xvafoundations library on GitHub.
From raw market quotes to a calibrated, simulated rate model. Covers curve construction, volatility surfaces, stochastic models, calibration, simulation, and pricing.
From simulated exposures to a full XVA number. Covers exposure metrics, portfolio aggregation, CVA/DVA/FVA computation, sensitivities via AAD, and trade-level back-allocation.
After these two series, you will be able to trace the full path from raw market quotes to a CVA number: how the inputs are sourced, how the model is built and calibrated, how the simulation is run, and what the final integral is actually measuring.
All views expressed are strictly personal and do not represent any past or current employer. Content is educational; nothing here constitutes financial, investment, or trading advice.