CalcVA: Calculates the Valuation Adjustment
In xvacode/xVA: Calculates Credit Risk Valuation Adjustments
CalcVA R Documentation
Calculates the Valuation Adjustment
Description
Calculates the Valuation Adjustment based on the exposure, the probability-of-default and the loss-given-default
Usage
CalcVA(exposure, discount_factors, PD, LGD)
Arguments
exposure
A vector containing the exposure values on which the credit risk adjustment will be calculated
discount_factors
The Discount Curve
PD
The probability-of-Default
LGD
The Loss-Given-Default
Value
The Valuation Adjustment Value
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
xvacode/xVA documentation built on Oct. 23, 2022, 10:20 a.m.
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| CalcVA | R Documentation |
Calculates the Valuation Adjustment
Description
Calculates the Valuation Adjustment based on the exposure, the probability-of-default and the loss-given-default
Usage
CalcVA(exposure, discount_factors, PD, LGD)
Arguments
exposure |
A vector containing the exposure values on which the credit risk adjustment will be calculated |
discount_factors |
The Discount Curve |
PD |
The probability-of-Default |
LGD |
The Loss-Given-Default |
Value
The Valuation Adjustment Value
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
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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