NatWest plans to put the XVA into RFQs
Bank to launch approximation tool on its electronic pricing framework for FX forwards
Imagine you’re an FX salesperson at a mid-tier bank who’s just received a request for a quote on a one-year sterling-dollar forward swap. You start to model the valuation adjustments (XVAs) for the derivative using a Monte Carlo engine, and then have to wait anything between a couple of minutes and several hours for the outcome.
However, as the decision tree of what might happen over the lifetime
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