xVA: Calculates Credit Risk Valuation Adjustments

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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>.

Author
Tasos Grivas
Date of publication
2016-11-29 20:10:05
Maintainer
Tasos Grivas <tasos@openriskcalculator.com>
License
GPL-3
Version
0.8.1
URLs

View on R-Forge

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

Files in this package

xVA/DESCRIPTION
xVA/NAMESPACE
xVA/R
xVA/R/CalcNGR.R
xVA/R/CalcPD.R
xVA/R/CalcSimulatedExposure.R
xVA/R/CalcVA.R
xVA/R/GenerateTimeGrid.R
xVA/R/calcCVACapital.R
xVA/R/calcDefCapital.R
xVA/R/calcEAD.R
xVA/R/calcEffectiveMaturity.R
xVA/R/calcKVA.R
xVA/R/xVACalculator.R
xVA/R/xVACalculatorExample.R
xVA/inst
xVA/inst/extdata
xVA/inst/extdata/AddonTable.csv
xVA/inst/extdata/RatingsMapping.csv
xVA/inst/extdata/spot_rates.csv
xVA/man
xVA/man/CalcNGR.Rd
xVA/man/CalcPD.Rd
xVA/man/CalcSimulatedExposure.Rd
xVA/man/CalcVA.Rd
xVA/man/calcCVACapital.Rd
xVA/man/calcDefCapital.Rd
xVA/man/calcEAD.Rd
xVA/man/calcEffectiveMaturity.Rd
xVA/man/calcKVA.Rd
xVA/man/xVACalculator.Rd
xVA/man/xVACalculatorExample.Rd