calcEffectiveMaturity

Calculates the effective maturity based on the specified regulatory framework

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, (simplified) SA-CCR, OEM
and IMM. The probability of default is implied through the credit spreads curve.
The package supports an exposure calculation based on SA-CCR which includes several trade types
and a simulated path which is currently available only for IRSwaps. The latest regulatory capital charge methodologies
have been implementing including BA-CVA & SA-CVA.

Tasos Grivas

Calculates Credit Risk Valuation Adjustments

calcEffectiveMaturity function

<dl><dt>trades</dt>
<dd>The full list of the Trade Objects</dd>
<dt>time_points</dt>
<dd>The timepoints that the analysis is performed on</dd>
<dt>framework</dt>
<dd>Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'</dd>
<dt>simulated_exposure</dt>
<dd>The exposure profile list containing the EE, EEE etc</dd></dl>

Arguments

Tasos Grivas &lt;tasos@openriskcalculator.com&gt;

Author

Calculates the Effective Maturity — calcEffectiveMaturity

<dl>

<dt>trades</dt>
<dd>The full list of the Trade Objects</dd>


<dt>time_points</dt>
<dd>The timepoints that the analysis is performed on</dd>


<dt>framework</dt>
<dd>Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'</dd>


<dt>simulated_exposure</dt>
<dd>The exposure profile list containing the EE, EEE etc</dd>

</dl>

calcEffectiveMaturity: Calculates the Effective Maturity

Description

Usage

Value

Arguments

Author