cva_capital: CVA risk capital charge
In imanuelcostigan/creditriskau: Credit Risk Capital Tools for Australia

Description Usage Arguments Value References Examples

This method determines a portfolio's CVA capital charge in accordance with APS 180, Att. A, para. 17. You supply three sets of arguments to this function: counterparty (CP) exposures, CP exposure single name hedges and index CVA hedges. The arguments to this function are vectorised so that each element of CP exposure and single name hedge arguments relate to one counterparty (or netting set if a counterparty has more than one netting set) and each element of the macro CVA hedge arguments relate to one CDS index. If a vector of length greater than one is supplied for cp_rating, the multiple counterparty CVA capital charge is calculated. In this case, if the cp_hedge_wam or cva_hedge_weight arguments are not NULL, hedging benefits accrue. The lengths of each of the CP exposures and single name hedge arguments must be consistent (or zero in case of df = NULL) while the index CVA hedge arguments must have the same length (or zero in case of df = NULL).

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cva_capital(cp_rating, cp_wam, cp_ead, cp_df = NULL, cp_hedge_wam = NULL,
  cp_hedge_notional = NULL, cp_hedge_df = NULL, cva_hedge_rating = NULL,
  cva_hedge_wam = NULL, cva_hedge_notional = NULL, cva_hedge_df = NULL)

`cp_rating`	the CP's long term credit rating which are mapped to weighting factors in accordance with APS 180, Att. A, para. 18. The credit ratings are defined in APS 120, Att. F, para. 13. with unrated exposures mapped to credit rating 4. Must be a numeric vector with unrated exposure ratings set to `NA`.
`cp_wam`	the weighted average maturity of derivative cash flows with the CP (M). Must be greater than zero.
`cp_ead`	the exposure at default (Exposure^total) which must be no less than 0.0
`cp_df`	the discount factor (D) which must be no more than 1.0 or `NULL`. Defaults to `NULL` which means that it is calculated from `cp_wam` per the prescribed formula.
`cp_hedge_wam`	the maturity of single name CDS cash flows referencing the CPs (M). Must be greater than zero.
`cp_hedge_notional`	notional amount of purchased single name CDS
`cp_hedge_df`	the discount factor (D) which must be no more than 1.0 or `NULL`. Defaults to `NULL` which means that it is calculated from `cp_hedge_wam` per the prescribed formula.
`cva_hedge_rating`	the index CDS counterparty's long term external credit rating. See `cp_rating` for further details
`cva_hedge_wam`	maturity in years of the index CDS
`cva_hedge_notional`	the notional amount of the index CDS
`cva_hedge_df`	the discount factor (D) which must be no more than 1.0 or `NULL`. Defaults to `NULL` which means that it is calculated from `wam` per the prescribed formula.

the CVA capital charge for the counterparty or an error if an invalid argument values are supplied.

APS 180

# Single counterparty
cva_capital(1, 2.3, 1e6, 0.8)
# Multiple counterparties
cva_capital(c(1, 2), c(1, 0.5), c(100, 8000))
# Multiple counterparties with hedges
cva_capital(c(2, 3), c(1, 0.5), c(100, 8000), NULL,
  c(1, 0.5), c(50, 1000), NULL, 1, 1, 2000, NULL)