xVACalculatorExample


Calculates the xVA values for a simple example containing two IR swaps.


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.

xVACalculatorExample: xVA calculation example

Description

Usage

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