CalcNGR

<p>A vector containing the trades to be netted</p>

MtM_Vector

<p>Calculates the Net/Gross ratio used under the CEM regulatory framework</p>

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>.

CalcNGR: Calculates the Net/Gross ratio (NGR)

Description

Usage

Arguments

Value