calcCVACapital

The full list of the Trade Objects

trades

cpty_rating

The effective maturity of the trades of the netting set

effective_maturity

Calculates the CVA capital charge based on the standardized approach

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>.

calcCVACapital: Calculates the CVA Capital Charge

Description

Usage

Arguments

Value