cva.py

import numpy as np
from scipy.stats import norm
import matplotlib.pyplot as plt
import random as r

# Market Information
risk_free = 0.1

# Share Specific Information
S_0 = 100
sigma = 0.3

# Call Option Specific Information
strike = 110
T = 1

# Firm Specific Information
V_0 = 200
sigma_firm = 0.25
debt = 180
recovery_rate = 0.2