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I have been looking into Matlab, R, Python, but couldn't find any toolbox for computing IM, MVA, xVA for OTC derivatives...

Could anybody please point me to some software which can compute these values?

Thanks!

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  • $\begingroup$ Could you add more precisions to your questions? (1) Do you mean the IM for cleared OTC trades, or uncleared ones (i.e. SIMM)? (2) For the MVA, no standard method has emerged for MVA computation yet, so everything depends on which method you are interested in. $\endgroup$ – byouness May 14 '18 at 19:32

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