Open source implementation of


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Real world Quantitative Risk Software solutions

Twenty five years of combined experience in the financial and the software industry via two senior cofounders. This is distributed among major financial software providers including Calypso Technologies, banks, hedge funds and consultancies.

Our solutions have matured over the past years via feedback received from professionals working in:

  • Tier I Banks.

  • Big Three Credit Ratings Agencies.

  • Major Buy Side Institutions.

Also, academics from all around the world have utilised our systems and provided valuable feedback.

Our Services

Regulatory Compliance

Is there a SACCR regulatory deadline coming up and you neither have the time nor the budget for a 'traditional' implementation?

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Emergency Management

Did a credit crisis create the need for a quick and reliable counterparty exposure evaluation?

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Model Validation

Do you need a benchmark model to test your CCR exposure or CVA?

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Open source solutions training/adjustment

Do you want to understand how our open source packages work or to enhance them? Please note that our commercial solutions are a few steps ahead, thus, we may offer you what you need at no time.

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Full implementation of the standardised approach of the Counterparty Credit Risk calculation including FAQs - constantly being updated with the relevant technical standards.

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An Implementation of the Valuation Adjustments' universe including CVA, DVA, FVA, MVA and KVA

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SA-CCR is Basel Committee's new, improved proposed formulation for measuring exposure at default (EAD) for counterparty credit risk (CCR). The SA-CCR will replace both current non-internal models approaches, the Current Exposure Method (CEM) and the Standardised Method (SM). You can find an overview here. We have developed an implementation of this framework in R and you can browse through its documentation, view the full source code or just download it from R Studio (it appears on the package list as SACCR) .

Some of the features of the application:

  • An object-oriented, inheritance-based framework for the representation of the trades has been created. Currently, trade types of all the five major asset classes have been created and, given the inheritance-based structure of the application, the addition of further trade types is straightforward

  • The application automatically separates the trades on the corresponding hedging and netting sets.

  • All the examples appearing on the regulatory paper (including the margined and the un-margined workflow) have been implemented.

  • The algorithm caters for the case of multiple netting agreements per counterparty

  • The basis and volatility transaction are identified and the relevant penalty factors are applied.

SA-CCR Calculator

Below you can see a sample SA-CCR Calculator which is provided strictly for educational purposes. It supports only a single counterparty & netting set, contact us for the full version.


An implementation of the xVA world including CVA, DVA, FBA, FCA, MVA and KVA(under CEM, SA-CCR and IMM). xVA groups as an acronym all the possible credit risk valuation adjustments currently suggested in the market. Starting from CVA which incorporates the default risk of the counterparty in the market price of the trade, the industry proceeded with DVA which is actually the CVA as seen from the counterparty’s point of view and it further continued adding terms, for example FVA which represents the benefit/cost of funding the MtM of a trade due to imperfect collateralization, the MVA which is linked to the initial margin which needs to be posted to the counterparty or the CCP and the KVA which is the effect of the regulatory capital that banks need to hold for this transaction. You can find further info about xVA in in the latest book of Jon Gregory: “the xVA Challenge”. We have developed an implementation of this framework in R and you can browse through its documentation, view the full source code or just download it from R Studio (it appears on the package list as xVA).

Some of the features of the application:

  • Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA.

  • A two-way margin agreement has been implemented.

  • For the KVA calculation three regulatory frameworks are supported: CEM, SA-CCR and IMM.

  • The probability of default is implied through the credit spreads curve.

  • Currently, only IRSwaps are supported.

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Real world Quantitative Risk Software solutions created by people with proven working experience in the industry.

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