Neutryx Valuations Module Documentation

Complete documentation for the Neutryx Valuations framework - a comprehensive suite for derivatives valuation, risk management, and regulatory calculations.

Documentation Structure

📚 Getting Started

1. Quick Start Guide
2. 5-minute tutorial
3. Common patterns
4. Tips and tricks
5. Troubleshooting

6. FAQ

7. Comprehensive Documentation

8. Complete module overview
9. Detailed API descriptions
10. Theory and mathematics
11. Extended examples

12. Best practices

13. API Summary

14. Quick API reference
15. Function signatures
16. Parameter descriptions
17. Return types

📖 Core Topics

XVA Framework

• XVA Overview
• CVA Calculation
• FVA, MVA, KVA
• Exposure Calculations

Risk Management

• Risk Metrics Overview
• Value at Risk (VaR)
• VaR Methodologies
• Conditional VaR / Expected Shortfall
• Portfolio Risk
• VaR Backtesting

Greeks and Sensitivities

• Greeks Overview
• First-Order Greeks
• Second-Order Greeks
• Implementation

SIMM and Margin

• SIMM Overview
• SIMM Workflow
• SIMM Calculation
• Initial Margin
• Variation Margin

Scenario Analysis

• Scenario Framework
• Market Data Bumpers
• Scenario Types

Stress Testing

• Stress Testing Overview
• Historical Scenarios
• Factor Stress Tests
• Reverse Stress Testing

Wrong-Way Risk

• WWR Overview
• CVA with WWR
• Copula Models
• WWR Engine

P&L Attribution

• P&L Attribution Overview
• Attribution Methods
• Daily Tracking
• Driver Analysis

🔧 Practical Guides

Examples

• Example 1: Complete XVA Calculation
• Example 2: Portfolio Risk Analysis
• Example 3: Stress Testing Workflow
• Example 4: SIMM Calculation

Best Practices

• Performance Optimization
• Numerical Stability
• Model Validation
• Risk Management
• Testing

📋 Reference

API Documentation

• XVA Module
• Risk Metrics Module
• SIMM Module
• Margin Module
• Scenarios Module
• Stress Test Module
• Wrong-Way Risk Module
• P&L Attribution Module
• Greeks Module

Module Structure

neutryx.valuations/
├── xva/                    # XVA framework (CVA, DVA, FVA, MVA, KVA)
│   ├── cva.py
│   ├── fva.py
│   ├── mva.py
│   ├── kva.py
│   ├── collateral.py
│   ├── exposure.py
│   ├── aggregation.py
│   └── capital.py
├── greeks/                 # Greeks calculations
│   ├── greeks.py
│   └── advanced_greeks.py
├── risk_metrics.py         # VaR, CVaR, risk measures
├── simm/                   # ISDA SIMM implementation
│   ├── calculator.py
│   ├── sensitivities.py
│   └── risk_weights.py
├── margin/                 # Margin calculations
│   ├── initial_margin.py
│   └── variation_margin.py
├── scenarios/              # Scenario analysis
│   ├── scenario.py
│   ├── bumpers.py
│   └── scenario_engine.py
├── stress_test.py          # Stress testing
├── wrong_way_risk.py       # Wrong-way risk modeling
├── pnl_attribution.py      # P&L attribution
├── exposure.py             # EPE/ENE calculations
└── utils.py                # Utility functions

Quick Navigation

By Use Case

Derivatives Pricing

• Clean Price Calculation
• XVA Adjustments
• XVA Framework

Risk Management

• Portfolio VaR
• Stress Testing
• Risk Management Best Practices

Regulatory Compliance

• SIMM Initial Margin
• SA-CCR
• FRTB

Trading Desk Operations

• Daily P&L Attribution
• Greeks Calculation
• What-If Analysis

Credit Risk

• CVA Calculation
• Wrong-Way Risk
• Exposure Profiles

By Asset Class

Rates

• Interest Rate Swaps XVA
• Swaption Greeks
• SIMM Interest Rate Risk

Equity

• Equity Option CVA
• Equity Greeks
• SIMM Equity Risk

FX

• FX Option Pricing
• Multi-Currency CVA
• SIMM FX Risk

Credit

• CDS CVA
• Wrong-Way Risk
• SIMM Credit Risk

Learning Path

Beginner

1. Start with Quick Start Guide
2. Work through the 5-minute tutorial
3. Try the common patterns
4. Read CVA basics

Intermediate

1. Read Comprehensive Documentation
2. Study XVA Framework
3. Learn Risk Metrics
4. Explore SIMM
5. Practice with examples

Advanced

1. Deep dive into Wrong-Way Risk
2. Master P&L Attribution
3. Study Best Practices
4. Implement custom scenarios
5. Optimize performance with JAX

Additional Resources

Code Examples

• GitHub Repository
• Examples Directory
• Jupyter Notebooks

Theory and Background

• Basel III Framework
• ISDA SIMM Methodology
• FRTB Standardized Approach
• CVA Capital Requirements

Community

• GitHub Issues
• Discussions
• Discord Community

Related Documentation

• Core Models
• Products
• Market Data
• Calibration

Quick Reference Cards

CVA Calculation

from neutryx.valuations.xva.cva import cva

cva_value = cva(epe_t, df_t, pd_t, lgd=0.60)

Portfolio VaR

from neutryx.valuations.risk_metrics import portfolio_var

var_95 = portfolio_var(weights, returns, 0.95)

SIMM IM

from neutryx.valuations.simm import SIMMCalculator

calculator = SIMMCalculator()
result = calculator.calculate(sensitivities)

Stress Test

from neutryx.valuations.stress_test import run_historical_stress_tests

results = run_historical_stress_tests(base_params, valuation_fn)

Frequently Asked Questions

General

• How do I handle multi-currency portfolios?
• How do I calibrate VaR models?
• Can I use custom stress scenarios?

Performance

• How do I optimize for GPU?
• What about memory usage?
• Can I parallelize calculations?

Integration

• How do I integrate with existing systems?
• What data formats are supported?
• Can I export results to Excel/CSV?

Troubleshooting

• NaN in CVA calculation
• VaR backtest failing
• Slow SIMM calculation

Version History

• v1.0.0 (2024-11-04): Initial comprehensive documentation
• Complete XVA framework
• Full risk metrics suite
• SIMM implementation
• Scenario analysis and stress testing
• Wrong-way risk modeling
• P&L attribution

Contributing

We welcome contributions! Please see: - Contributing Guidelines - Code of Conduct - Development Setup

Support

• Documentation Issues: Open an issue on GitHub
• Bug Reports: Use the issue tracker
• Feature Requests: Submit via discussions
• Security Issues: Email security@neutryx.com

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Last Updated: 2024-11-04 Module Version: 1.0.0 Python: 3.9+ JAX: 0.4.0+

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