xVA (0.8)

Calculates Credit Risk Valuation Adjustments.

www.openriskcalculator.com
http://cran.r-project.org/web/packages/xVA

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, SA-CCR and IMM. The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported.

Maintainer: Tasos Grivas
Author(s): Tasos Grivas

License: GPL-3

Uses: SACCR
Reverse suggests: Trading

Released almost 4 years ago.