xVA: Calculates Credit Risk Valuation Adjustments

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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