xVACalculator

Calculates the xVA values (CVA, DVA, FVA, FBA, MVA, KVA)

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

xVACalculator function

<dl><dt>trades</dt>
<dd>The full list of the Trade Objects</dd>
<dt>CSA</dt>
<dd>The margin agreement with the counterparty</dd>
<dt>collateral</dt>
<dd>The amount of collateral currently exchanged with the counterparty</dd>
<dt>sim_data</dt>
<dd>A list containing data related to the calculation of simulated exposures (for example the model parameters and the number of simulations)</dd>
<dt>reg_data</dt>
<dd>A list containing data related to the regulatory calculations (for example the 'ccr_framework' member variable can be 'IMM','SACCR','CEM')</dd>
<dt>credit_curve_PO</dt>
<dd>The credit curve of the processing organization</dd>
<dt>credit_curve_cpty</dt>
<dd>The credit curve of the processing organization</dd>
<dt>funding_curve</dt>
<dd>A curve containing the credit spread for the funding of the collateral</dd>
<dt>spot_rates</dt>
<dd>The spot rates curve</dd>
<dt>cpty_LGD</dt>
<dd>The loss-given-default of the counterparty</dd>
<dt>PO_LGD</dt>
<dd>The loss-given-default of the processing organization</dd>
<dt>no_simulations</dt>
<dd>if true, no simulated exposure will be generated and the regulatory framework should be SA-CCR</dd></dl>

Arguments

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

Author

Calculates the xVA values — xVACalculator

<dl>

<dt>trades</dt>
<dd>The full list of the Trade Objects</dd>


<dt>CSA</dt>
<dd>The margin agreement with the counterparty</dd>


<dt>collateral</dt>
<dd>The amount of collateral currently exchanged with the counterparty</dd>


<dt>sim_data</dt>
<dd>A list containing data related to the calculation of simulated exposures (for example the model parameters and the number of simulations)</dd>


<dt>reg_data</dt>
<dd>A list containing data related to the regulatory calculations (for example the 'ccr_framework' member variable can be 'IMM','SACCR','CEM')</dd>


<dt>credit_curve_PO</dt>
<dd>The credit curve of the processing organization</dd>


<dt>credit_curve_cpty</dt>
<dd>The credit curve of the processing organization</dd>


<dt>funding_curve</dt>
<dd>A curve containing the credit spread for the funding of the collateral</dd>


<dt>spot_rates</dt>
<dd>The spot rates curve</dd>


<dt>cpty_LGD</dt>
<dd>The loss-given-default of the counterparty</dd>


<dt>PO_LGD</dt>
<dd>The loss-given-default of the processing organization</dd>


<dt>no_simulations</dt>
<dd>if true, no simulated exposure will be generated and the regulatory framework should be SA-CCR</dd>

</dl>

xVACalculator: Calculates the xVA values

Description

Usage

Value

Arguments

Author

References