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. Currently, only IRSwaps are supported. For more information, you can check one of the books regarding xVA: <http://www.cvacentral.com/books/credit-value-adjustment>.
| Version: | 0.8.5 |
| Imports: | methods, SACCR, Trading |
| Published: | 2020-08-30 |
| Author: | Tasos Grivas |
| Maintainer: | Tasos Grivas <tasos at openriskcalculator.com> |
| License: | GPL-3 |
| URL: | https://openriskcalculator.com/ |
| NeedsCompilation: | no |
| CRAN checks: | xVA results |
| Reference manual: | xVA.pdf |
| Package source: | xVA_0.8.5.tar.gz |
| Windows binaries: | r-devel: xVA_0.8.5.zip, r-release: xVA_0.8.5.zip, r-oldrel: xVA_0.8.5.zip |
| macOS binaries: | r-release: xVA_0.8.5.tgz, r-oldrel: xVA_0.8.5.tgz |
| Old sources: | xVA archive |
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