Banks adopt Python for faster XVA data analysis and pricing
Some banks claim the coding language permits XVA pricing in milliseconds
Python – it’s the new Excel for derivatives valuation adjustments (XVAs). Or so say banks who are increasingly turning towards the coding language and away from others, such as C++, to better analyse and more quickly price XVAs.
“Python gives us Excel on steroids,” says Antoine Savine, chief quantitative analyst at Danske Bank.
But while the plaudits for Python are many, it seems both coding languages may yet survive in a hybrid approach to risk calculation.
XVAs reflect the credit, funding
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