calcEffectiveMaturity

The full list of the Trade Objects

trades

The timepoints that the analysis is performed on

time_points

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

framework

The exposure profile list containing the EE, EEE etc

simulated_exposure

Calculates the effective maturity based on the specified regulatory framework

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>.

calcEffectiveMaturity: Calculates the Effective Maturity

Description

Usage

Arguments

Value