xVA (0.8.1)

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. For more information, you can check one of the books regarding xVA: .

Maintainer: Tasos Grivas
Author(s): Tasos Grivas

License: GPL-3

Uses: SACCR, Trading
Reverse suggests: Trading

Released about 3 years ago.