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, (simplified) SA-CCR, OEM and IMM. The probability of default is implied through the credit spreads curve. The package supports an exposure calculation based on SA-CCR which includes several trade types and a simulated path which is currently available only for IRSwaps. The latest regulatory capital charge methodologies have been implementing including BA-CVA & SA-CVA.

Getting started

Package details

AuthorTasos Grivas
MaintainerTasos Grivas <tasos@openriskcalculator.com>
LicenseGPL-3
Version1.1
URL https://openriskcalculator.com/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("xVA")

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xVA documentation built on Aug. 28, 2022, 1:06 a.m.