Man pages for xvacode/xVA
Calculates Credit Risk Valuation Adjustments

calcCVACapitalCalculates the CVA Capital Charge
calcDefCapitalCalculates the Default Capital Charge
calcEADCalculates the Exposure-At-Default (EAD)
calcEffectiveMaturityCalculates the Effective Maturity
calcKVACalculates the Capital Valuation Adjustment (KVA)
CalcNGRCalculates the Net/Gross ratio (NGR)
CalcPDCalculates the Probablity of Default
CalcSimulatedExposureCalculated the Simulated Exposure Profile
CalcVACalculates the Valuation Adjustment
xVACalculatorCalculates the xVA values
xVACalculatorExamplexVA calculation example
xvacode/xVA documentation built on May 28, 2017, 8:33 a.m.