README.md
In xvacode/xVA: Calculates Credit Risk Valuation Adjustments
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, (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.
If you want to become a contributor to this project, use this code for commercial purposes or for any other queries please contact us at info@openriskcalculator.com or visit our website www.openriskcalculator.com
Donate
If you have found this software of use, please consider supporting us by donating below:
xvacode/xVA documentation built on Oct. 23, 2022, 10:20 a.m.
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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, (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.
If you want to become a contributor to this project, use this code for commercial purposes or for any other queries please contact us at info@openriskcalculator.com or visit our website www.openriskcalculator.com
Donate
If you have found this software of use, please consider supporting us by donating below:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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