CalcVA: Calculates the Valuation Adjustment

Description Usage Arguments Value Author(s)

View source: R/CalcVA.R

Description

Calculates the Valuation Adjustment based on the exposure, the probability-of-default and the loss-given-default

Usage

1
CalcVA(exposure, discount_factors, PD, LGD)

Arguments

exposure

A vector containing the exposure values on which the credit risk adjustment will be calculated

discount_factors

The Discount Curve

PD

The probability-of-Default

LGD

The Loss-Given-Default

Value

The Valuation Adjustment Value

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>


xVA documentation built on Aug. 30, 2020, 1:06 a.m.

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