CalcPD

spread

The timepoints that the analysis is performed on

time_points


Calculates the probablity of the default on specific time points by using the spread of the corresponding credit curve and the loss given default


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.

CalcPD: Calculates the Probablity of Default

Description

Usage

Arguments

Value