calcDefCapital

trades

The Exposure-At-Default of the trades as per the selected regulatory framework

A list containing data related to the regulatory calculations (for example the regulatory probability-of-default, the regulatory loss-given-default etc)

reg_data

The effective maturity of the trades of the netting set

effective_maturity


Calculates the default capital charge using the advanced IRB methodology and the stressed R


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.

calcDefCapital: Calculates the Default Capital Charge

Description

Usage

Arguments

Value