Efficient Simm-MVA calculations for callable exotics
Algorithmic differentiation are used to simulate sensitivities to calculate MVA
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Margin valuation adjustment for callable trades subject to the standard initial margin model requires sensitivities of future trade values to quotes. Fortunately, sensitivities of future trade values to model parameters can be combined with future parameter-to-quote Jacobians to achieve this, and these sensitivities can be computed efficiently via differentiation through least-squares Monte Carlo. Here
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