xVACalculator: Calculates the xVA values

Description Usage Arguments Value Author(s) References

View source: R/xVACalculator.R

Description

Calculates the xVA values (CVA, DVA, FVA, FBA, MVA, KVA)

Usage

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xVACalculator(
  trades,
  CSA,
  collateral,
  sim_data,
  reg_data,
  credit_curve_PO,
  credit_curve_cpty,
  funding_curve,
  spot_rates,
  cpty_LGD,
  PO_LGD
)

Arguments

trades

The full list of the Trade Objects

CSA

The margin agreement with the counterparty

collateral

The amount of collaterals currently exchanged with the counterparty

sim_data

A list containing data related to the calculation of simulated exposures (for example the model parameters and the number of simulations)

reg_data

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

credit_curve_PO

The credit curve of the processing organisation

credit_curve_cpty

The credit curve of the processing organisation

funding_curve

A curve containing the credit spread for the funding of the collateral

spot_rates

The spot rates curve

cpty_LGD

The loss-given-default of the counterparty

PO_LGD

The loss-given-default of the processing organisation

Value

A list containing the xVA values

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

Gregory J., The xVA Challenge, 2015, Wiley


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

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