calcKVA

The exposure profile list containing the EE, EEE etc

exposure_profile

The margin agreement with the counterparty

The full list of the Trade Objects

trades

A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')

reg_data

The timepoints that the analysis is performed on

time_points

Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital

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>.

calcKVA: Calculates the Capital Valuation Adjustment (KVA)

Description

Usage

Arguments

Value