6 March 2017
Today’s OTC derivative trades no longer rely on a market quote but include CVA, DVA and FVA in the pricing calculation. This means that the counterparty’s creditworthiness, your cost of funding and your collateral agreements all contribute adjustments to the final price of a trade.
Calculating these adjustments quickly and easily at the point of trading is essential to making sure trades are executed at the correct level and that a costly re-mark won’t hit the books in the future.
The triCalculate pricing functionality provides a competitive advantage when pricing new OTC derivative trades by providing an overview of the how XVA numbers would change for a netting set. This assists your decision making in putting on a new trade.
How it Works
The triCalculate GUI has been developed to provide easy to use functionality for pricing a new OTC derivative trade. CVA DVA and FVA calculations can be performed in a couple of seconds to ensure you are trading at the ‘right’ price.
To price the XVA impact of a new deal in triCalculate simply follow these steps: