An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Journal of Mathematics in Industry

Table 1 Model parameters

$S_{0}$	$q^{S}$	$\gamma ^{S}$	μ̄	σ̄	ρ
$(\begin{array}{c} 40 \\ ⋮ \\ 40 \end{array})$	$(\begin{array}{c} 0.06 \\ ⋮ \\ 0.06 \end{array})$	$(\begin{array}{c} 0 \\ ⋮ \\ 0 \end{array})$	$(\begin{array}{c} 0.06 \\ ⋮ \\ 0.06 \end{array})$	$(\begin{array}{c} 0.2 \\ ⋮ \\ 0.2 \end{array})$	$(\begin{array}{c} 1 & 0.25 & \dots & 0.25 \\ 0.25 & 1 & 0.25 & \dots & 0.25 \\ ⋮ & ⋱ & ⋮ \\ 0.25 & \dots & 1 \end{array})$

r	$r^{\mathcal{B}}$	$r^{\mathcal{C}}$	$q^{\mathcal{C}}$	$r^{X}$
0.06	0	0	0	0.1

K	T	$(\theta _{1}, \theta _{2})$
40	1	(0,1)