Before revision:  In doing so we introduce double-semi-replication, i.e. partial hedging of value jump on counterparty default, and TVA : Tax Valuation Adjustment . We take an expectation approach to hedging open risk and so introduce a market price of counterparty default value jump risk. We show that both risk warehousing and tax are material in a set of interest rate swap examples .
After revision:  In doing so we introduce double-semi-replication, i.e. partial hedging of value jump on counterparty default, and TVA : Tax Valuation Adjustment ) to enable quantification .