calcCVACapital: Calculates the CVA Capital Charge
Description
Calculates the CVA capital charge based on the standardized approach
Usage
calcCVACapital(trades, EAD, cpty_rating, effective_maturity)
Arguments
trades
The full list of the Trade Objects
cpty_rating
the rating of the counterparty
effective_maturity
The effective maturity of the trades of the netting set
Value
The CVA capital charge of the trade set