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, SA-CCR and IMM. The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported. For more information, you can check one of the books regarding xVA: <http://www.cvacentral.com/books/credit-value-adjustment>.

Version: 0.8.1
Imports: methods, SACCR, Trading
Published: 2016-11-26
Author: Tasos Grivas
Maintainer: Tasos Grivas <tasos at openriskcalculator.com>
License: GPL-3
URL: www.openriskcalculator.com
NeedsCompilation: no
CRAN checks: xVA results

Downloads:

Reference manual: xVA.pdf
Package source: xVA_0.8.1.tar.gz
Windows binaries: r-devel: xVA_0.8.1.zip, r-release: xVA_0.8.1.zip, r-oldrel: xVA_0.8.1.zip
OS X El Capitan binaries: r-release: xVA_0.8.1.tgz
OS X Mavericks binaries: r-oldrel: xVA_0.8.1.tgz
Old sources: xVA archive

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