Calculates Credit Risk Valuation Adjustments


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Documentation for package ‘xVA’ version 1.0

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calcCVACapital Calculates the CVA Capital Charge
calcDefCapital Calculates the Default Capital Charge
calcEADRegulatory Calculates the Exposure-At-Default (EAD)
calcEffectiveMaturity Calculates the Effective Maturity
calcKVA Calculates the Capital Valuation Adjustment (KVA)
CalcNGR Calculates the Net/Gross ratio (NGR)
CalcPD Calculates the Probablity of Default
CalcSimulatedExposure Calculated the Simulated Exposure Profile
CalcVA Calculates the Valuation Adjustment
xVACalculator Calculates the xVA values
xVACalculatorExample xVA calculation example