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I believe netting sets are usually provided as inputs to the algorithm in most-cases. If you were to kind of "guess" netting sets given different trades (in general) data, you could start by grouping them by counterparty. I'm not a legal specialist but my understanding is that counterparty here is to be understood as "legal entity" or something like that, ...


would it affect CVA? that would depend on what happens on breaking. Normally if we break a swap, the swap is over and there are no more cash-flows. We would only break if the NPV is negative and in that case we have no credit exposure so no effect. However, CVA is generally computed on a book basis and that is more complicated. Ultimately, you have to ...

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