Usage
xVACalculator(trades, col, sim_data, reg_data, credit_curve_PO, credit_curve_cpty, funding_curve, spot_rates, cpty_LGD, PO_LGD)
Arguments
trades
The full list of the Trade Objects
col
The margin agreement with the counterparty
sim_data
A list containing data related to the calculation of simulated exposures (for example the model parameters and the number of simulations)
reg_data
A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')
credit_curve_PO
The credit curve of the processing organisation
credit_curve_cpty
The credit curve of the processing organisation
funding_curve
A curve containing the credit spread for the funding of the collateral
spot_rates
The spot rates curve
cpty_LGD
The loss-given-default of the counterparty
PO_LGD
The loss-given-default of the processing organisation