CalcVA

<p>A vector containing the exposure values on which the credit risk adjustment will be calculated</p>

exposure

discount_factors

<p>Calculates the Valuation Adjustment based on the exposure, the probability-of-default and the loss-given-default</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>.

CalcVA: Calculates the Valuation Adjustment

Description

Usage

Arguments

Value