calcKVA: Calculates the Capital Valuation Adjustment (KVA)

Description Usage Arguments Value Author(s)

View source: R/calcKVA.R

Description

Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital

Usage

1
calcKVA(exposure_profile, CSA, collateral, trades, reg_data, time_points)

Arguments

exposure_profile

The exposure profile list containing the EE, EEE etc

CSA

The margin agreement with the counterparty

collateral

The current amount of collaterals currently exchanged with the counterparty

trades

The full list of the Trade Objects

reg_data

A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')

time_points

The timepoints that the analysis is performed on

Value

The capital valuation adjustment (KVA)

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>


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

Related to calcKVA in xVA...