calcEAD: Calculates the Exposure-At-Default (EAD)

In xvacode/xVA: Calculates Credit Risk Valuation Adjustments

Calculates the Exposure-At-Default (EAD)

Description

Calculates the Exposure-At-Default (EAD) based on the given regulatory framework. It supports the CEM, SA-CCR and IMM frameworks

Usage

calcEAD(trades, framework, col, EEE, time_points)

Arguments

trades	The full list of the Trade Objects
framework	Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'
col	The margin agreement with the counterparty
EEE	A vector containing the effective expected exposure against the counterparty
time_points	The timepoints that the analysis is performed on

Value

The Exposure-At-Default

Author(s)

Tasos Grivas <[e-mail]>

xvacode/xVA documentation built on Oct. 23, 2022, 10:20 a.m.