Article
Pre-trade XVA for the sales desk, what the quote has to carry
For sales and XVA desks: the three costs a quote on an uncollateralised trade has to carry, why many desks still call the XVA desk, and what an engine must do to put the XVA impact in the quote.
Article, 6 pages, PDF. Sent on request, to a company email.
What it covers
- A quote on an uncollateralised trade carries CVA, FVA and KVA; the sales desk rarely sees them at the point of quoting
- Incremental XVA needs the netting set simulated with and without the trade, which took tens of seconds to minutes
- At under a second with Greeks, the XVA impact sits in the pricing screen instead of a phone call
