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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 |
DOI: | 10.32614/CRAN.package.xVA |
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 |
Please use the canonical form https://CRAN.R-project.org/package=xVA to link to this page.
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.