Calculates the xVA values

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Description

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

Usage

1
2
xVACalculator(trades, col, sim_data, reg_data, credit_curve_PO,
  credit_curve_cpty, funding_curve, spot_rates, cpty_LGD, PO_LGD)

Arguments

trades

The full list of the Trade Objects

col

The margin agreement 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 'framework' member variable can be 'IMM','SACCR','CEM')

credit_curve_PO

The credit curve of the processing organisation

credit_curve_cpty

The credit curve of the processing organisation

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 organisation

Value

A list containing the xVA values

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

Gregory J., The xVA Challenge, 2015, Wiley