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, SA-CCR and IMM. The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported. For more information, you can check one of the books regarding xVA: <http://www.cvacentral.com/books/credit-value-adjustment>.

AuthorTasos Grivas
Date of publication2016-11-29 20:10:05
MaintainerTasos Grivas <tasos@openriskcalculator.com>
LicenseGPL-3
Version0.8.1
www.openriskcalculator.com

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