Gregory's Spreadsheet JG_XLS_8.4 (CCS swap)

[rnavarro]

There is a correction in the spreadsheet: JG_XLS_8.4 (CCS swap)

Example at time 0.025

PFE for CCS
=SQRT(B17*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*SQRT(10-B17)*IRVol*FXVol)

The square root term on the last term should be eliminated and thus the correct formula is

=SQRT(B17*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*(10-B17)*IRVol*FXVol)

I seen Gregory's spreadsheet on his website and it is the case.

 

[David Harper CFA FRM]

Okay thank you I will check it out, that actually makes sense! Although why isn't the initial B31 squared, shouldn't it be?:

=SQRT(B17^2*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*(10-B17)*IRVol*FXVol)

Can i ask, did you see this in an updated XLS version, or did he explicitly identify in an errata? Thanks!

 

[rnavarro]

All errata are errata from the text but not from the spread sheet related.
From the updated spreadsheet https://cvacentral.com/books/credit-value-adjustment/spreadsheets/ it has the expression

=SQRT(C17^2+D17^2+2*IRFXCorr*C17*D17)
C17 - from IRS D17 - from FX forward

 

[David Harper CFA FRM]

okay thank you @rnavarro for the pointer!