Netting Sets and CSA
NettingSet
NettingSet::new(claims: Vec<ContingentClaim>, policy: Box<dyn DiscountPolicy>)
NettingSet::with_csa_terms(claims: Vec<ContingentClaim>, csa: CsaTerms)
ns.claims() -> &[ContingentClaim]
ns.csa_terms() -> Option<&CsaTerms>
ns.discount_policy() -> &dyn DiscountPolicyAll claims in a netting set are summed per path and date before taking positive/negative parts, so netting benefit is captured. XvaEngine::run requires with_csa_terms; NettingSet::new is for exposure-only runs with a custom policy.
CsaTerms
pub struct CsaTerms {
collateral_index: MarketIndex, // discount curve for collateralised cashflows
collateral_currency: Currency, // currency of collateral
credit_spread: f64, // flat counterparty hazard rate (if no credit_index)
recovery: f64, // LGD = 1 - recovery
funding_spread: f64, // flat funding spread (fallback)
funding_spread_curve: Option<FundingSpreadCurve { dates: Vec<Date>, spreads: Vec<f64> }>,
funding_index: Option<MarketIndex>, // bootstrapped funding curve
credit_index: Option<MarketIndex>, // bootstrapped credit curve, e.g. Credit("CLIENT_A")
}examples/cva/data/csa_terms.json:
{
"collateral_index": "SOFR",
"collateral_currency": "USD",
"credit_spread": 0.01,
"recovery": 0.4,
"funding_index": "TermSOFR3m",
"funding_spread_curve": {
"dates": ["2026-11-11", "2028-11-11", "2030-11-11"],
"spreads": [0.004, 0.005, 0.006]
}
}
The CSA implies a SingleCurveCSADiscountPolicy::new(collateral_index, collateral_currency): claims in the collateral currency discount on collateral_index; claims in other currencies discount on MarketIndex::Collateral(ccy, collateral_currency), which therefore must have both a bootstrapped curve and an LgmModelConfig.
Selection rules inside the engine:
| Field set | Aggregator |
|---|---|
credit_index | CreditCurveCvaFactory with pillar survivals from the bootstrapped credit curve (sensitivities labelled <index>.pillar_i) |
| otherwise | CvaFactory with \(S(t)=e^{-\text{credit\_spread}\cdot t}\) |
funding_index | FundingCurveFvaFactory using the spread between the funding curve and the system curve (labels <funding_index>.<date>) |
funding_spread_curve | FundingCurveFvaFactory with the explicit term structure (labels funding_spread.<date>) |
| otherwise | FvaFactory with the flat funding_spread |
Building claims
let claims: Vec<ContingentClaim> = swap_trade.into_claims()?; // IntoContingentClaims
let claim = MakeContingentClaim::default()
.with_trade_id("MANUAL_1").with_leg_id("fixed").with_payment_date(d)
.with_currency(Currency::USD).with_notional(1e6).with_side(Side::LongReceive)
.with_evaluation_strategy(ClaimEvaluationStrategy::Deterministic { amount: 25_000.0 })
.build()?;Multiple trades — swaps, cross-currency swaps, FX forwards, options and ScriptedProducts — can share a netting set as long as their currencies are covered by fx_configs.
Multiple netting sets
run(&mut HashMap<String, NettingSet>) simulates a single market model for all sets and produces per-set XvaValues, so counterparties sharing the same market factors are evaluated on identical paths.