calcKVA

The exposure profile list containing the EE, EEE etc

exposure_profile

The margin agreement with the counterparty

trades

A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')

reg_data

The timepoints that the analysis is performed on

time_points


Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital


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.

calcKVA: Calculates the Capital Valuation Adjustment (KVA)

Description

Usage

Arguments

Value