New answers tagged finance
In terms of end-user applications, all trading desks and middle office places I know, use either their own proprietary or expensive third party sources. On the other hand there exists a c++ library called QuantLib that is well known among real world practitioners, probably because it contains several routines that are well tested and robust. Often pieces of ...
Volopta has some nice examples, but not always true. Their MATLAB GARCH code was not in line with Duan's specs.
The CVA charge in Basel iii reporting increases the capital required for OTC derivatives trading. Apart from CVA, there are DVA and FVA that are important. The adjustments might be unitary reffered to as XVA, as the principle is the same.
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