xvacode/xVA: Calculates Credit Risk Valuation Adjustments

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, SA-CCR and IMM. The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported. For more information, you can check one of the books regarding xVA: <http://www.cvacentral.com/books/credit-value-adjustment>.

Getting started

Package details

AuthorTasos Grivas
MaintainerTasos Grivas <[email protected]>
URL www.openriskcalculator.com
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
xvacode/xVA documentation built on Jan. 17, 2019, 8:57 a.m.