CalcNGR

Calculates the Net/Gross ratio used under the CEM regulatory framework

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.

Tasos Grivas

Calculates Credit Risk Valuation Adjustments

CalcNGR function

<dl><dt>MtM_Vector</dt>
<dd>A vector containing the trades to be netted</dd></dl>

Arguments

Tasos Grivas &lt;tasos@openriskcalculator.com&gt;

Author

Calculates the Net/Gross ratio (NGR) — CalcNGR

<dl>

<dt>MtM_Vector</dt>
<dd>A vector containing the trades to be netted</dd>

</dl>

CalcNGR: Calculates the Net/Gross ratio (NGR)

Description

Usage

Value

Arguments

Author