| xVACalculator {xVA} | R Documentation |
Calculates the xVA values
Description
Calculates the xVA values (CVA, DVA, FVA, FBA, MVA, KVA)
Usage
xVACalculator(
trades,
CSA,
collateral,
sim_data,
reg_data,
credit_curve_PO,
credit_curve_cpty,
funding_curve,
spot_rates,
cpty_LGD,
PO_LGD,
no_simulations
)
Arguments
trades |
The full list of the Trade Objects |
CSA |
The margin agreement with the counterparty |
collateral |
The amount of collateral currently exchanged with the counterparty |
sim_data |
A list containing data related to the calculation of simulated exposures (for example the model parameters and the number of simulations) |
reg_data |
A list containing data related to the regulatory calculations (for example the 'ccr_framework' member variable can be 'IMM','SACCR','CEM') |
credit_curve_PO |
The credit curve of the processing organization |
credit_curve_cpty |
The credit curve of the processing organization |
funding_curve |
A curve containing the credit spread for the funding of the collateral |
spot_rates |
The spot rates curve |
cpty_LGD |
The loss-given-default of the counterparty |
PO_LGD |
The loss-given-default of the processing organization |
no_simulations |
if true, no simulated exposure will be generated and the regulatory framework should be SA-CCR |
Value
A list containing the xVA values and the cva capital charge
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Gregory J., The xVA Challenge, 2015, Wiley