xVACalculator: Calculates the xVA values
In xvacode/xVA: Calculates Credit Risk Valuation Adjustments

xVACalculator

R Documentation

Calculates the xVA values

Description

Calculates the xVA values (CVA, DVA, FVA, FBA, MVA, KVA)

Usage

xVACalculator(
  trades,
  CSA,
  collateral,
  sim_data,
  reg_data,
  credit_curve_PO,
  credit_curve_cpty,
  funding_curve,
  spot_rates,
  cpty_LGD,
  PO_LGD,
  no_simulations
)

Arguments

`trades`	The full list of the Trade Objects
`CSA`	The margin agreement with the counterparty
`collateral`	The amount of collateral currently exchanged with the counterparty
`sim_data`	A list containing data related to the calculation of simulated exposures (for example the model parameters and the number of simulations)
`reg_data`	A list containing data related to the regulatory calculations (for example the 'ccr_framework' member variable can be 'IMM','SACCR','CEM')
`credit_curve_PO`	The credit curve of the processing organization
`credit_curve_cpty`	The credit curve of the processing organization
`funding_curve`	A curve containing the credit spread for the funding of the collateral
`spot_rates`	The spot rates curve
`cpty_LGD`	The loss-given-default of the counterparty
`PO_LGD`	The loss-given-default of the processing organization
`no_simulations`	if true, no simulated exposure will be generated and the regulatory framework should be SA-CCR