Package: xVA 1.3
xVA: Credit Risk Valuation Adjustments
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 four regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM and IMM. The probability of default is implied through the credit spreads curve. The package supports an exposure calculation based on SA-CCR which includes several trade types and a simulated path which is currently available only for Interest Rate Swaps. The latest regulatory capital charge methodologies have been implementing including BA-CVA & SA-CVA.
Authors:
xVA_1.3.tar.gz
xVA_1.3.zip(r-4.7-any)xVA_1.3.zip(r-4.6-any)xVA_1.3.zip(r-4.5-any)
xVA_1.3.tgz(r-4.6-any)xVA_1.3.tgz(r-4.5-any)
xVA_1.3.tar.gz(r-4.7-any)xVA_1.3.tar.gz(r-4.6-any)
xVA_1.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
xVA/json (API)
| # Install 'xVA' in R: |
| install.packages('xVA', repos = c('https://sa-ccr.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:e203330230. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 123 | ||
| source / vignettes | OK | 161 | ||
| linux-release | OK | 145 | ||
| macos-release | OK | 95 | ||
| macos-oldrel | OK | 102 | ||
| windows-devel | OK | 97 | ||
| windows-release | OK | 100 | ||
| windows-oldrel | OK | 92 | ||
| wasm-release | OK | 110 |
Exports:calcCVACapitalcalcDefCapitalcalcEADRegulatorycalcEffectiveMaturitycalcKVACalcNGRCalcPDCalcSimulatedExposureCalcVAIS_ELIGIBLE_CCYIS_IGLoadSupervisoryCVADataxVACalculatorxVACalculatorExample
Dependencies:cellrangerclicpp11crayondata.tabledata.treefarverggplot2gluegmpgtableherehmsisobandjsonlitelabelinglatticelifecyclemagrittrMatrixPerformanceAnalyticspillarpkgconfigpngprettyunitsprogressquadprogR6rappdirsRColorBrewerRcppRcppAlgosRcppTOMLreadxlrematchreticulaterlangrprojrootS7SACCRscalesstringitibbleTradingutf8vctrsviridisLitewithrxtszoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Calculates the CVA Capital Charge | calcCVACapital |
| Calculates the Default Capital Charge | calcDefCapital |
| Calculates the Exposure-At-Default (EAD) | calcEADRegulatory |
| Calculates the Effective Maturity | calcEffectiveMaturity |
| Calculates the Capital Valuation Adjustment (KVA) | calcKVA |
| Calculates the Net/Gross ratio (NGR) | CalcNGR |
| Calculates the Probablity of Default | CalcPD |
| Calculated the Simulated Exposure Profile | CalcSimulatedExposure |
| Calculates the Valuation Adjustment | CalcVA |
| Checks if specified currency is low risk | IS_ELIGIBLE_CCY |
| Checks if Credit rating is Investment Grade | IS_IG |
| Supervisory Data Loading | LoadSupervisoryCVAData |
| Calculates the xVA values | xVACalculator |
| xVA calculation example | xVACalculatorExample |