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Hi,
I am just wondering if I can choose the model that I want to calculate the EE,PFE, ENE…
For example, just doing a single unilatercal CVA for vanilla swap/cc swap can I choose any IR Model(HW1F or HW2F)?Best
BenHi Ben,
the cross asset model is designed to allow for that. However currently only one model type per asset class is available in the open source library, so effectively you can only use e.g. the LGM1F (=HW1F) model for IR unless someone (or we) add an alternative model type.
Best Regards
Peter
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