{ "_id": "6ad1c4e9a6a61792ed76b67c", "Package": "xVA", "Type": "Package", "Title": "Credit Risk Valuation Adjustments", "Version": "1.3", "Date": "2025-05-23", "Author": "Tasos Grivas [aut, cre]", "Authors@R": "person(given = \"Tasos\", \nfamily = \"Grivas\",\nrole = c(\"aut\", \"cre\"),\nemail = \"info@openriskcalculator.com\")", "Maintainer": "Tasos Grivas ", "Description": "Calculates a number of valuation adjustments including\nCVA, DVA, FBA, FCA, MVA and KVA. A two-way margin agreement has\nbeen implemented. For the KVA calculation four regulatory\nframeworks are supported: CEM, (simplified) SA-CCR, OEM and\nIMM. The probability of default is implied through the credit\nspreads curve. The package supports an exposure calculation\nbased on SA-CCR which includes several trade types and a\nsimulated path which is currently available only for Interest\nRate Swaps. The latest regulatory capital charge methodologies\nhave been implementing including BA-CVA & SA-CVA.", "License": "GPL-3", "URL": "https://openriskcalculator.com/", "Collate": "'CalcNGR.R' 'CalcPD.R' 'CalcSimulatedExposure.R' 'CalcVA.R'\n'GenerateTimeGrid.R' 'calcDefCapital.R' 'calcEADRegulatory.R'\n'calcEffectiveMaturity.R' 'calcKVA.R' 'xVACalculator.R'\n'xVACalculatorExample.R' 'onLoad.R' 'IS_ELIGIBLE_CCY.R'\n'IS_IG.R' 'LoadSupervisoryCVAData.R' 'calcCVACapital.R'", "NeedsCompilation": "no", "RoxygenNote": "7.3.2", "Repository/R-Forge/Project": "ccr", "Repository/R-Forge/Revision": "65", "Repository/R-Forge/DateTimeStamp": "2022-08-27 16:52:51", "Packaged": { "Date": "2026-10-16 06:25:33 UTC", "User": "root" }, "Config/pak/sysreqs": "libgmp3-dev libicu-dev libpng-dev python3", "Repository": "https://sa-ccr.r-universe.dev", "Date/Publication": "2025-05-30 10:41:31 UTC", "RemoteUrl": "https://github.com/cran/xVA", "RemoteRef": "HEAD", "RemoteSha": "e20333023044ac73580ee810d6801dd1c206f9a5", "_user": "sa-ccr", "_type": "src", "_file": "xVA_1.3.tar.gz", "_fileid": "https://r2.ropensci.org/7ff9d4cc257461349f66d0908df35e748a6a6112ed6d0fceb3a3145fdeb727a1", "_filesize": 119510, "_sha256": "7ff9d4cc257461349f66d0908df35e748a6a6112ed6d0fceb3a3145fdeb727a1", "_expires": "2027-01-24T06:32:08.000Z", "_created": "2026-10-16T06:25:33.000Z", "_published": "2026-10-16T06:32:09.770Z", "_buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887", "_status": "success", "_host": "GitHub-Actions", "_jobs": [ { "job": 116843532920, "time": 123, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "12029510113" }, { "job": 116843532994, "time": 145, "config": "linux-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "12028229858" }, { "job": 116843532849, "time": 102, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "12029361771" }, { "job": 116843532842, "time": 95, "config": "macos-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "12029262181" }, { "job": 116842732570, "time": 161, "config": "source", "r": "4.6.1", "check": "OK", "artifact": "12029257030" }, { "job": 116843532851, "time": 110, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "12028564033" }, { "job": 116843532880, "time": 97, "config": "windows-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "12029158432" }, { "job": 116843532938, "time": 92, "config": "windows-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "12028859605" }, { "job": 116843532866, "time": 100, "config": "windows-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "12029218156" } ], "_upstream": "https://github.com/cran/xVA", "_commit": { "id": "e20333023044ac73580ee810d6801dd1c206f9a5", "author": "Tasos Grivas ", "committer": "cran-robot ", "message": "version 1.3\n", "time": 1748601691 }, "_maintainer": { "name": "Tasos Grivas", "email": "info@openriskcalculator.com", "login": "sa-ccr", "description": "", "uuid": 14264331 }, "_distro": "resolute", "_registered": true, "_dependencies": [ { "package": "methods", "role": "Imports" }, { "package": "SACCR", "role": "Imports" }, { "package": "Trading", "role": "Imports" }, { "package": "data.table", "role": "Imports" } ], "_owner": "cran", "_selfowned": true, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 1, "_contributors": [ { "user": "xvacode", "count": 5, "uuid": 15148994 }, { "user": "sa-ccr", "count": 1, "uuid": 14264331 } ], "_userbio": { "uuid": 14264331, "type": "user", "name": "sa-ccr", "followers": 16 }, "_downloads": { "count": 362, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/xVA" }, "_searchresults": 2, "_rbuild": "4.6.1", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/manual.pdf", "extra/xVA.html" ], "_realowner": "sa-ccr", "_cranurl": false, "_releases": [ { "version": "0.8", "date": "2016-01-20" }, { "version": "0.8.1", "date": "2016-11-26" }, { "version": "0.8.5", "date": "2020-08-30" }, { "version": "1.0", "date": "2022-03-16" }, { "version": "1.1", "date": "2022-08-27" }, { "version": "1.3", "date": "2025-05-30" } ], "_exports": [ "calcCVACapital", "calcDefCapital", "calcEADRegulatory", "calcEffectiveMaturity", "calcKVA", "CalcNGR", "CalcPD", "CalcSimulatedExposure", "CalcVA", "IS_ELIGIBLE_CCY", "IS_IG", "LoadSupervisoryCVAData", "xVACalculator", "xVACalculatorExample" ], "_help": [ { "page": "calcCVACapital", "title": "Calculates the CVA Capital Charge", "topics": [ "calcCVACapital" ] }, { "page": "calcDefCapital", "title": "Calculates the Default Capital Charge", "topics": [ "calcDefCapital" ] }, { "page": "calcEADRegulatory", "title": "Calculates the Exposure-At-Default (EAD)", "topics": [ "calcEADRegulatory" ] }, { "page": "calcEffectiveMaturity", "title": "Calculates the Effective Maturity", "topics": [ "calcEffectiveMaturity" ] }, { "page": "calcKVA", "title": "Calculates the Capital Valuation Adjustment (KVA)", "topics": [ "calcKVA" ] }, { "page": "CalcNGR", "title": "Calculates the Net/Gross ratio (NGR)", "topics": [ "CalcNGR" ] }, { "page": "CalcPD", "title": "Calculates the Probablity of Default", "topics": [ "CalcPD" ] }, { "page": "CalcSimulatedExposure", "title": "Calculated the Simulated Exposure Profile", "topics": [ "CalcSimulatedExposure" ] }, { "page": "CalcVA", "title": "Calculates the Valuation Adjustment", "topics": [ "CalcVA" ] }, { "page": "IS_ELIGIBLE_CCY", "title": "Checks if specified currency is low risk", "topics": [ "IS_ELIGIBLE_CCY" ] }, { "page": "IS_IG", "title": "Checks if Credit rating is Investment Grade", "topics": [ "IS_IG" ] }, { "page": "LoadSupervisoryCVAData", "title": "Supervisory Data Loading", "topics": [ "LoadSupervisoryCVAData" ] }, { "page": "xVACalculator", "title": "Calculates the xVA values", "topics": [ "xVACalculator" ] }, { "page": "xVACalculatorExample", "title": "xVA calculation example", "topics": [ "xVACalculatorExample" ] } ], "_rundeps": [ "cellranger", "cli", "cpp11", "crayon", "data.table", "data.tree", "farver", "ggplot2", "glue", "gmp", "gtable", "here", "hms", "isoband", "jsonlite", "labeling", "lattice", "lifecycle", "magrittr", "Matrix", "PerformanceAnalytics", "pillar", "pkgconfig", "png", "prettyunits", "progress", "quadprog", "R6", "rappdirs", "RColorBrewer", "Rcpp", "RcppAlgos", "RcppTOML", "readxl", "rematch", "reticulate", "rlang", "rprojroot", "S7", "SACCR", "scales", "stringi", "tibble", "Trading", "utf8", "vctrs", "viridisLite", "withr", "xts", "zoo" ], "_score": 1, "_indexed": true, "_nocasepkg": "xva", "_universes": [ "sa-ccr" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "1.3", "date": "2026-10-16T06:27:33.000Z", "distro": "resolute", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/0b30442ffea616337e5f870b0465977f4f4cf0f0459d556ddc661982f9ee26b0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" }, { "r": "4.6.1", "os": "linux", "version": "1.3", "date": "2026-10-16T06:27:37.000Z", "distro": "resolute", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/11dd61dc8cb7e8cf180b93e138d938f373bdca50bc18d779579b194b0f258caa", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" }, { "r": "4.5.3", "os": "mac", "version": "1.3", "date": "2026-10-16T06:31:15.000Z", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/f7f2e64c6194dc707e827ce59be0b7706b2068278115792b30b3023f200c2cd0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" }, { "r": "4.6.1", "os": "mac", "version": "1.3", "date": "2026-10-16T06:28:25.000Z", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/6d55b3a091399b8952978ad30fbaade4236cf63882d4da73b216cbf0fb1c98b0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" }, { "r": "4.6.0", "os": "wasm", "version": "1.3", "date": "2026-10-16T06:27:45.000Z", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/d9482f1f201f0b99740322a5f0b9a5171b5a9560304f9ca63698879f7ce6250b", "status": "success", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" }, { "r": "4.7.0", "os": "win", "version": "1.3", "date": "2026-10-16T06:26:44.000Z", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/72ebc8da4cf0eb8c10652c89071c1ccea3dca8d9d5e5c81bc6f837000b753cb8", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" }, { "r": "4.5.3", "os": "win", "version": "1.3", "date": "2026-10-16T06:26:42.000Z", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/f45a191a72c990e5f95995f6a470fd39928ac43a97f1a7d4919e22650820e195", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" }, { "r": "4.6.1", "os": "win", "version": "1.3", "date": "2026-10-16T06:26:57.000Z", "commit": "e20333023044ac73580ee810d6801dd1c206f9a5", "fileid": "https://r2.ropensci.org/c093cb5fea93daa42e58a13c5b08c0fcaf2ad8f85ec418d29da25b16fcff24a0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/38860867887" } ] }