calcCVACapital: Calculates the CVA Capital Charge

Description Usage Arguments Value Author(s)

View source: R/calcCVACapital.R

Description

Calculates the CVA capital charge based on the standardized approach

Usage

1
calcCVACapital(trades, EAD, cpty_rating, effective_maturity)

Arguments

trades

The full list of the Trade Objects

EAD

Exposure-at-Default

cpty_rating

the rating of the counterparty

effective_maturity

The effective maturity of the trades of the netting set

Value

The CVA capital charge of the trade set

Author(s)

Tasos Grivas <[email protected]>


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