Calculates Credit Risk Valuation Adjustments


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Documentation for package ‘xVA’ version 0.8

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calcCVACapital Calculates the CVA Capital Charge
calcDefCapital Calculates the Default Capital Charge
calcEAD 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
CSAb CSAb Class
Curve Curve Class
HashTable Hashtable Class
IRSwap IR Swap Class
xVACalculator Calculates the xVA values
xVACalculatorExample xVA calculation example