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Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives

Penned By Donald J. Smith
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4.85
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Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives

Penned By Donald J. Smith
4.85 32,192 Ratings
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Editor's Note:
CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end users of the valuations, for example, accountants, auditors, and analysts. The book, which is essentially a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA(R) fixed income curriculum and allows readers to replicate the examples using a spreadsheet.Contents: IntroductionAbout the AutorAn Introduction to Bond Valuation Using a Binomial TreeValuing Traditional Fixed-Rate Corporate BondsValuing Floating-Rate Notes and Interest Rate Caps and FloorsValuing Fixed-Income Bonds Having Embedded Call and Put OptionsValuing Interest Rate Swaps with CVA and DVAValuing an Interest Rate Swap Portfolio with CVA, DVA, and FVAStructured NotesSummaryReferencesAppendix: The Forward Rate Binomial Tree ModelReadership: Undergraduate and graduate students of finance, and CFA candidates. Key Features: There is no other book like itReaders can replicate the examples using a spreadsheetThe book supports and supplements the CFA(R) Level II curriculum

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Length 228 Pages
Released August 12, 2015
Identifier (ISBN) 35821653
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Donald J. Smith
The Mind Behind the Work
Donald J. Smith

Donald J. Smith is a writer and avid reader based in the Pacific Northwest. Before pursuing writing full-time, they spent over a decade working in education. When not working on their next book, Donald J. Smith can usually be found hiking with their dog or trying out new coffee shops in their neighborhood.

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Melissa Wilson
Melissa Wilson January 09, 2024
"A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend."
Edward Anderson
Edward Anderson December 04, 2024
"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
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Emily Robinson
Emily Robinson January 24, 2024
"A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me."
Carol Torres
Carol Torres November 30, 2025
"Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars."
Dorothy Thompson
Dorothy Thompson June 19, 2025
"Took a moment to build, but the payoff was spectacular. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
Brian Rivera
Brian Rivera October 24, 2025
"A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Donald Gonzalez
Donald Gonzalez February 02, 2024
"A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
Lisa Adams
Lisa Adams September 12, 2024
"Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall."
Steven Anderson
Steven Anderson June 22, 2024
"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel."
Kenneth  Parker
Kenneth Parker June 19, 2025
"A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend."
Rebecca Evans
Rebecca Evans October 29, 2024
"A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre."
Jacob Carter
Jacob Carter June 01, 2025
"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
Patricia Moore
Patricia Moore August 14, 2025
"Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
Nancy Hill
Nancy Hill December 05, 2024
"A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers."
Sandra Miller
Sandra Miller January 13, 2024
"Not entirely to my refined tastes. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perfectly average."
Carol Wilson
Carol Wilson November 13, 2025
"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel."
Stephanie Evans
Stephanie Evans November 14, 2025
"A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
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"Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
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"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre."
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Richard Sanchez
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"Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece."
Jacob Hill
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"Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre."
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"Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre."
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"Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
Christopher Martin
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"Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece."
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"I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers."
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"A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall."
Sarah Green
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"A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Paul Campbell
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"Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading."
Patricia Lopez
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"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
Sharon Hall
Sharon Hall July 09, 2024
"Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
William Turner
William Turner January 31, 2024
"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre."
Brian Wilson
Brian Wilson October 31, 2024
"A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
Donald Nguyen
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"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading."
Ryan Johnson
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"An acceptable diversion. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perhaps more aligned with a different audience's tastes."
Thomas Perez
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"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me."
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"Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading."
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"Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars."
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
Donna Flores
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"Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me."
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"Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Brian Wilson
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Paul Moore
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"Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall."
Joseph King
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"I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend."
Daniel Robinson
Daniel Robinson August 24, 2024
"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Andrew Allen
Andrew Allen September 17, 2025
"A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall."
Stephanie Turner
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"I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece."
Donna Torres
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading."
Richard Clark
Richard Clark October 02, 2024
"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall."
Donald Perez
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"A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel."
Patricia Lopez
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"Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading."
Margaret Nguyen
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"Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
Melissa Gomez
Melissa Gomez July 20, 2024
"An acceptable diversion. Certain acts were fascinating, while others felt like a slight endeavor to complete. Unlikely to reread, but a reasonable expenditure of time."
Paul Evans
Paul Evans May 12, 2024
"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author."
George Sanchez
George Sanchez July 07, 2024
"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading."
Emily Rivera
Emily Rivera October 28, 2024
"Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Mary Perez
Mary Perez April 13, 2024
"Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre."
John Reyes
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"It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Suitable if your reading queue is empty."
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Sandra Jackson October 23, 2025
"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel."
Sarah White
Sarah White June 01, 2024
"Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
Joseph King
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"I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
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Laura Miller
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"Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
Kimberly Hill
Kimberly Hill April 05, 2025
"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
Daniel Johnson
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"I find myself somewhat conflicted. The prose was competent, yet the characters lacked the depth I usually seek. Suitable if your reading queue is empty."
Joseph Jones
Joseph Jones May 09, 2024
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Dorothy Martinez
Dorothy Martinez July 04, 2025
"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre."
Richard Gonzalez
Richard Gonzalez June 09, 2024
"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall."
Nicholas Wilson
Nicholas Wilson April 25, 2025
"Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall."
Emily Gomez
Emily Gomez April 27, 2024
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
Susan Jones
Susan Jones July 18, 2024
"Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars."
Kevin Moore
Kevin Moore May 21, 2025
"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author."
Susan Jones
Susan Jones July 16, 2024
"Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading."
Mark  Parker
Mark Parker June 24, 2025
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Kimberly Baker
Kimberly Baker May 13, 2025
"Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre."
Thomas Torres
Thomas Torres July 29, 2024
"I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre."
Michael Robinson
Michael Robinson January 29, 2025
"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem."
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Nancy Rodriguez June 23, 2024
"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece."
Jessica King
Jessica King June 16, 2024
"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
Donna Green
Donna Green March 16, 2025
"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
Eric Anderson
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"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
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William Gonzalez
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"Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
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"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall."
Donald Gonzalez
Donald Gonzalez April 28, 2024
"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
Michael Robinson
Michael Robinson July 01, 2025
"Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem."
Edward Clark
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"It was adequate. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty."
Jacob Lopez
Jacob Lopez January 14, 2024
"Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall."
Nicholas King
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"Not entirely to my refined tastes. It verged on repetitive in the second act. A more concise edit would have served it well. Perhaps more aligned with a different audience's tastes."
Emily Lee
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"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
Kenneth Green
Kenneth Green July 12, 2025
"Took a moment to build, but the payoff was spectacular. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers."
Joshua Allen
Joshua Allen July 07, 2025
"Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me."
Christopher Hill
Christopher Hill August 18, 2025
"Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece."
Michael Young
Michael Young April 24, 2024
"A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading."
Joshua Adams
Joshua Adams November 20, 2025
"Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
John Cruz
John Cruz October 11, 2025
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
Kevin Moore
Kevin Moore November 21, 2025
"Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me."
Charles Anderson
Charles Anderson April 19, 2024
"I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem."
Rebecca Evans
Rebecca Evans September 24, 2025
"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend."
Laura Torres
Laura Torres March 03, 2025
"A decent, if standard, experience. It verged on repetitive in the second act. A more concise edit would have served it well. Perhaps more aligned with a different audience's tastes."
Charles Martinez
Charles Martinez June 13, 2025
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre."
Eric Thomas
Eric Thomas September 15, 2025
"I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers."
Sharon Hall
Sharon Hall December 13, 2024
"Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars."
Gary Jackson
Gary Jackson October 30, 2024
"Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
Eric Anderson
Eric Anderson July 01, 2024
"I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers."
Sharon Moore
Sharon Moore January 28, 2025
"Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
Susan Anderson
Susan Anderson April 12, 2025
"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
Rebecca Walker
Rebecca Walker June 22, 2024
"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
Joshua Adams
Joshua Adams August 21, 2024
"I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel."
Ryan Johnson
Ryan Johnson February 13, 2024
"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre."
Laura Flores
Laura Flores January 09, 2024
"Not entirely to my refined tastes. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Unlikely to reread, but a reasonable expenditure of time."
Ashley Scott
Ashley Scott October 10, 2025
"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
Daniel King
Daniel King April 18, 2024
"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre."
Elizabeth Lewis
Elizabeth Lewis December 22, 2025
"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author."
Richard Young
Richard Young October 28, 2024
"Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
Gary Ramirez
Gary Ramirez August 20, 2024
"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece."
Margaret Thompson
Margaret Thompson October 28, 2024
"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
Melissa Wilson
Melissa Wilson June 13, 2024
"Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me."
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"I find myself somewhat conflicted. It verged on repetitive in the second act. A more concise edit would have served it well. A fair 3 stars."
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