xVA: Calculates Credit Risk Valuation Adjustments

Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For the KVA calculation three regulatory frameworks are supported: CEM, SA-CCR and IMM. The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported. For more information, you can check one of the books regarding xVA: <http://www.cvacentral.com/books/credit-value-adjustment>.

Getting started

Package details

AuthorTasos Grivas
MaintainerTasos Grivas <tasos@openriskcalculator.com>
URL www.openriskcalculator.com
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the xVA package in your browser

Any scripts or data that you put into this service are public.

xVA documentation built on May 2, 2019, 6:22 a.m.