OpenChainGraph · QFA-04 · Wave 3 · Zero-Egress

XVA / CVA Calculator

Monte Carlo simulation of expected exposure profiles for OTC derivatives. Computes CVA (Credit Valuation Adjustment), DVA (Debit Valuation Adjustment), and FVA (Funding Valuation Adjustment) via discounted EPE/ENE curves. Basel III SA-CCR · FRTB CVA desk · IFRS 13 fair-value hierarchy.

v1.0.0 risk_parameter Monte Carlo EPE Wave 3 Zero-Egress
🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.
Instrument Preset
IRS — Pay-Fixed
Interest Rate Swap, 5-year, notional $10M, pay 4.5% fixed / receive SOFR
5y · $10M · IG counterparty
FX Forward — EUR/USD
3-month EUR/USD forward, €5M notional, forward rate 1.08
90d · €5M · sub-IG counterparty
CDS — Protection Buyer
CDS on IG reference entity, 3-year, $20M, protection buyer position
3y · $20M · dealer counterparty
Base currency equivalent
0.25 – 30 years
50 – 5,000
steps along exposure path
Counterparty annual default %
Loss given default %
For DVA computation
Spread above risk-free for FVA
GBM volatility of exposure driver
Discounting rate
Chain Intake (optional — paste AP2 artifact from QFA-01)
Links this calculation to an upstream options greeks run for full chain provenance.
Ready
XVA Summary
EPE / ENE ProfileExpected Positive / Negative Exposure over time
Export








  

    
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Copy this paragraph into Claude, OpenClaw, or any MCP-aware agent to run this exact tool, with this sample, and verify the artifact.

  
Run the AINumbers MCP tool `calculate_xva`. Task: Monte Carlo XVA/CVA/DVA/FVA calculator.
Call it with arguments: {"policy_parameters":{}}
Verify before trusting: this node computes in your browser, so the MCP endpoint returns no execution_hash. Run the tool in the page, export the Policy Mandate artifact it produces, and call `verify_execution_hash` on mcp.ainumbers.co (https://mcp.ainumbers.co/mcp) with that artifact.
Return the ledger link https://ledger.ainumbers.co/ so a human can re-verify without contacting us.
PII rule: All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.
Open the tool with the sample prefilled: https://ainumbers.co/chaingraph/qfa-04-xva-cva-calculator.html#p=v1.H4sIAAAAAAAA_wECAP3_e31Dv6ajAgAAAA