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:
|Date of publication||2016-11-26 17:37:01|
|Maintainer||Tasos Grivas <[email protected]>|
|Package repository||View on CRAN|
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