Computation of DiscVA and Non-linearity
Pricing of Counterparty risk and funding with CSA discounting, portfolio effects and initial margin
F. Biagini, A. Gnoatto and I. Oliva
The paper can be downloaded at
https://arxiv.org/abs/1905.11328 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3394928