CVA Calculator — xVA on an Interest-Rate Swap
Compute the Credit Valuation Adjustment of a vanilla swap step by step, including the bilateral (CVA − DVA) case.
CVA — Credit Valuation Adjustment— is the price of your counterparty's default risk: the amount by which a derivative is worth less than its risk-free value once you account for the chance the other side fails. This CVA calculator computes it for a vanilla interest-rate swap through a transparent five-step pipeline rather than a black box.
The three ingredients
CVA is the discounted product of three things across time: the expected positive exposure (what the counterparty would owe you if it defaulted at each date), the probability of default (bootstrapped from the credit spread), and the loss given default (one minus the recovery rate). The tool shows each leg so you can see where the number comes from.
Bilateral CVA and DVA
Your own default risk cuts the other way: DVA (Debit Valuation Adjustment) is the mirror image, and bilateral CVA nets the two — the fair, symmetric adjustment both sides can agree on. The pipeline matches the SKEMA Excel workbook step for step, so it doubles as a teaching aid. For the rates background, price the underlying swap legs in the Fixed Income calculator, and see the Coach for counterparty-risk interview questions.
Frequently asked questions
What is CVA?
Credit Valuation Adjustment is the market price of the risk that your derivatives counterparty defaults before the trade matures. It is the discount you take off a risk-free valuation to account for expected counterparty losses.
How is CVA computed here?
Through a five-step pipeline: build the swap's future values, turn them into positive exposures, weight by the counterparty's default probability from its credit spread, apply loss-given-default, and discount. Each step is shown so you can follow the logic.
What is the difference between CVA, DVA and bilateral CVA?
CVA charges you for your counterparty's default risk; DVA is the mirror benefit from your own default risk; bilateral CVA (bCVA = CVA − DVA) nets the two, which is what both sides must agree on to price a trade consistently.
Is the CVA calculator free?
Yes, entirely free with no account. It is built as a teaching tool, so every intermediate quantity — exposure profile, PD, LGD — is visible, not just the final number.