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xVA (version 0.8)

Calculates Credit Risk Valuation Adjustments

Description

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.

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Version

Install

install.packages('xVA')

Monthly Downloads

474

Version

0.8

License

GPL-3

Maintainer

Tasos Grivas

Last Published

January 20th, 2016

Functions in xVA (0.8)

calcCVACapital

Calculates the CVA Capital Charge
xVACalculatorExample

xVA calculation example
calcDefCapital

Calculates the Default Capital Charge
CalcPD

Calculates the Probablity of Default
IRSwap-class

IR Swap Class
HashTable-class

Hashtable Class
CalcVA

Calculates the Valuation Adjustment
calcKVA

Calculates the Capital Valuation Adjustment (KVA)
CalcSimulatedExposure

Calculated the Simulated Exposure Profile
calcEffectiveMaturity

Calculates the Effective Maturity
CSAb-class

CSAb Class
CalcNGR

Calculates the Net/Gross ratio (NGR)
calcEAD

Calculates the Exposure-At-Default (EAD)
Curve-class

Curve Class
xVACalculator

Calculates the xVA values