calcKVA: Calculates the Capital Valuation Adjustment (KVA)
In xVA: Calculates Credit Risk Valuation Adjustments

View source: R/calcKVA.R

calcKVA

R Documentation

Calculates the Capital Valuation Adjustment (KVA)

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

calcKVA(
  CSA,
  collateral,
  trades,
  reg_data,
  time_points,
  EAD,
  effective_maturity,
  ignore_def_charge = TRUE
)

Arguments

`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
`EAD`	The Exposure-at-default calculated based on the prescribed framework as appearing in the 'reg_data'
`effective_maturity`	The effective maturity of the trades performed with a specific counterparty
`ignore_def_charge`	if set to true the default capital charge is set to zero