Package: xVA 1.1
Tasos Grivas
xVA: Calculates 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 three 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 IRSwaps. The latest regulatory capital charge methodologies have been implementing including BA-CVA & SA-CVA.
Authors:
xVA_1.1.tar.gz
xVA_1.1.zip(r-4.5)xVA_1.1.zip(r-4.4)xVA_1.1.zip(r-4.3)
xVA_1.1.tgz(r-4.4-any)xVA_1.1.tgz(r-4.3-any)
xVA_1.1.tar.gz(r-4.5-noble)xVA_1.1.tar.gz(r-4.4-noble)
xVA_1.1.tgz(r-4.4-emscripten)xVA_1.1.tgz(r-4.3-emscripten)
xVA.pdf |xVA.html✨
xVA/json (API)
| # Install 'xVA' in R: |
| install.packages('xVA', repos = c('https://cranhaven.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/cranhaven/cranhaven.r-universe.dev/issues
Last updated 3 days agofrom:de7aa52200 (on package/xVA). Checks:OK: 7. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 20 2024 |
| R-4.5-win | OK | Oct 21 2024 |
| R-4.5-linux | OK | Oct 20 2024 |
| R-4.4-win | OK | Oct 21 2024 |
| R-4.4-mac | OK | Oct 22 2024 |
| R-4.3-win | OK | Oct 21 2024 |
| R-4.3-mac | OK | Oct 22 2024 |
Exports:calcCVACapitalcalcDefCapitalcalcEADRegulatorycalcEffectiveMaturitycalcKVACalcNGRCalcPDCalcSimulatedExposureCalcVAIS_ELIGIBLE_CCYIS_IGLoadSupervisoryCVADataxVACalculatorxVACalculatorExample
Dependencies:cellrangerclicolorspacecpp11crayondata.tabledata.treefansifarverggplot2gluegmpgtableherehmsisobandjsonlitelabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmePerformanceAnalyticspillarpkgconfigpngprettyunitsprogressquadprogR6rappdirsRColorBrewerRcppRcppAlgosRcppTOMLreadxlrematchreticulaterlangrprojrootSACCRscalesstringitibbleTradingutf8vctrsviridisLitewithrxtszoo
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 |
