CalcNGR

A vector containing the trades to be netted

MtM_Vector


Calculates the Net/Gross ratio used under the CEM 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.

CalcNGR: Calculates the Net/Gross ratio (NGR)

Description

Usage

Arguments

Value