Calculates Credit Risk Valuation Adjustments
Description
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.