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MAFS5220

These group projects were developed by a group of students who studied a master course in Financial Mathematics "Quantitative and Statistical Risk Analysis", which is about how to compute the price of a deal by considering the counterparty credit risk. These projects made use of QuantLib and Boost libraries, so that some fundamental building blocks could be re-used and the students could focus on developing somethings new and innovative. Group 1 project: Create an Android mobile app that computes CVA (as a cloud service). Group 2 project: Compute the FVA, CVA and DVA of interest rate swap with a non-collateral counterparty. Group 4 project: Compute the bilateral CVA of an equity forward. Group 5 project: Compute the unilateral CVA of a FX forward.

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