xVA: Calculates Credit Risk Valuation Adjustments
Version 0.8.1

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: .

Browse man pages Browse package API and functions Browse package files

AuthorTasos Grivas
Date of publication2016-11-29 20:10:05
MaintainerTasos Grivas <tasos@openriskcalculator.com>
LicenseGPL-3
Version0.8.1
URL www.openriskcalculator.com
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("xVA", repos="http://R-Forge.R-project.org")

Man pages

calcCVACapital: Calculates the CVA Capital Charge
calcDefCapital: Calculates the Default Capital Charge
calcEAD: Calculates the Exposure-At-Default (EAD)
calcEffectiveMaturity: Calculates the Effective Maturity
calcKVA: Calculates the Capital Valuation Adjustment (KVA)
CalcNGR: Calculates the Net/Gross ratio (NGR)
CalcPD: Calculates the Probablity of Default
CalcSimulatedExposure: Calculated the Simulated Exposure Profile
CalcVA: Calculates the Valuation Adjustment
xVACalculator: Calculates the xVA values
xVACalculatorExample: xVA calculation example

Functions

CalcNGR Man page Source code
CalcPD Man page Source code
CalcSimulatedExposure Man page Source code
CalcVA Man page Source code
GenerateTimeGrid Source code
calcCVACapital Man page Source code
calcDefCapital Man page Source code
calcEAD Man page Source code
calcEffectiveMaturity Man page Source code
calcKVA Man page Source code
xVACalculator Man page Source code
xVACalculatorExample Man page Source code

Files

DESCRIPTION
NAMESPACE
R
R/CalcNGR.R
R/CalcPD.R
R/CalcSimulatedExposure.R
R/CalcVA.R
R/GenerateTimeGrid.R
R/calcCVACapital.R
R/calcDefCapital.R
R/calcEAD.R
R/calcEffectiveMaturity.R
R/calcKVA.R
R/xVACalculator.R
R/xVACalculatorExample.R
inst
inst/extdata
inst/extdata/AddonTable.csv
inst/extdata/RatingsMapping.csv
inst/extdata/spot_rates.csv
man
man/CalcNGR.Rd
man/CalcPD.Rd
man/CalcSimulatedExposure.Rd
man/CalcVA.Rd
man/calcCVACapital.Rd
man/calcDefCapital.Rd
man/calcEAD.Rd
man/calcEffectiveMaturity.Rd
man/calcKVA.Rd
man/xVACalculator.Rd
man/xVACalculatorExample.Rd
xVA documentation built on May 21, 2017, 1:22 a.m.