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POST
Credit Valuation Adjustment (CVA)

Authorizations

X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
exposure_paths
number[][]
required

Simulated exposure paths (each path is array of exposures over time)

Example:
counterparty_spread
number
required

Counterparty credit spread in basis points

Required range: x >= 0
Example:

250

recovery_rate
number
default:0.4

Recovery rate on counterparty default (0 to 1)

Required range: 0 <= x <= 1
Example:

0.4

own_spread
number | null

Own credit spread in basis points (for DVA calculation)

Example:

150

own_recovery
number
default:0.4

Own recovery rate

Example:

0.4

funding_spread
number | null

Funding spread in basis points (for FVA)

Example:

80

time_points
number[] | null

Time points in years corresponding to exposure paths

Example:

Response

CVA calculation results

success
boolean
Example:

true

data
object