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>.
|Date of publication||2016-11-26 17:37:01|
|Maintainer||Tasos Grivas <email@example.com>|
calcCVACapital: Calculates the CVA Capital Charge
calcDefCapital: Calculates the Default Capital Charge
calcEAD: Calculates the Exposure-At-Default (EAD)
calcEffectiveMaturity: Calculates the Effective Maturity
calcKVA: Calculates the Capital Valuation Adjustment (KVA)
CalcNGR: Calculates the Net/Gross ratio (NGR)
CalcPD: Calculates the Probablity of Default
CalcSimulatedExposure: Calculated the Simulated Exposure Profile
CalcVA: Calculates the Valuation Adjustment
xVACalculator: Calculates the xVA values
xVACalculatorExample: xVA calculation example
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