xVACalculator

The full list of the Trade Objects

trades

The margin agreement with the counterparty

A list containing data related to the calculation of simulated exposures (for example the model parameters and the number of simulations)

sim_data

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

reg_data

The credit curve of the processing organisation

credit_curve_PO

credit_curve_cpty

A curve containing the credit spread for the funding of the collateral

funding_curve

spot_rates

The loss-given-default of the counterparty

cpty_LGD

The loss-given-default of the processing organisation

PO_LGD

Calculates the xVA values (CVA, DVA, FVA, FBA, MVA, KVA)

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>.

xVACalculator: Calculates the xVA values

Description

Usage

Arguments

Value

References