Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For the KVA calculation three regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM and IMM. The probability of default is implied through the credit spreads curve. The package supports an exposure calculation based on SA-CCR which includes several trade types and a simulated path which is currently available only for IRSwaps. The latest regulatory capital charge methodologies have been implementing including BA-CVA & SA-CVA.
Package details |
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Author | Tasos Grivas |
Maintainer | Tasos Grivas <tasos@openriskcalculator.com> |
License | GPL-3 |
Version | 1.1 |
URL | https://openriskcalculator.com/ |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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