calcEAD

The full list of the Trade Objects

trades

Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'

framework

The margin agreement with the counterparty

A vector containing the effective expected exposure against the counterparty

The timepoints that the analysis is performed on

time_points

Calculates the Exposure-At-Default (EAD) based on the given regulatory framework. It supports the CEM, SA-CCR and IMM frameworks

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>.

calcEAD: Calculates the Exposure-At-Default (EAD)

Description

Usage

Arguments

Value