CalcVA

A vector containing the exposure values on which the credit risk adjustment will be calculated

exposure

discount_factors


Calculates the Valuation Adjustment based on the exposure, the probability-of-default 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.

CalcVA: Calculates the Valuation Adjustment

Description

Usage

Arguments

Value