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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.
| Version: | 1.1 |
| Imports: | methods, SACCR, Trading, data.table |
| Published: | 2022-08-27 |
| 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_1.1.tar.gz |
| Windows binaries: | r-devel: xVA_1.1.zip, r-release: xVA_1.1.zip, r-oldrel: xVA_1.1.zip |
| macOS binaries: | r-release (arm64): xVA_1.1.tgz, r-oldrel (arm64): xVA_1.1.tgz, r-release (x86_64): xVA_1.1.tgz, r-oldrel (x86_64): xVA_1.1.tgz |
| Old sources: | xVA archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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