Package: xVA
Type: Package
Title: Calculates Credit Risk Valuation Adjustments
Version: 1.0
Date: 2022-03-16
Author: Tasos Grivas
Maintainer: Tasos Grivas <tasos@openriskcalculator.com>
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.
License: GPL-3
Imports: methods, SACCR, Trading
URL: https://openriskcalculator.com/
Collate: 'CalcNGR.R' 'CalcPD.R' 'CalcSimulatedExposure.R' 'CalcVA.R'
        'GenerateTimeGrid.R' 'calcCVACapital.R' 'calcDefCapital.R'
        'calcEADRegulatory.R' 'calcEffectiveMaturity.R' 'calcKVA.R'
        'xVACalculator.R' 'xVACalculatorExample.R' 'onLoad.R'
NeedsCompilation: no
RoxygenNote: 7.1.1
Repository: CRAN
Repository/R-Forge/Project: ccr
Repository/R-Forge/Revision: 59
Repository/R-Forge/DateTimeStamp: 2022-03-16 17:40:19
Date/Publication: 2022-03-16 18:20:02 UTC
Packaged: 2022-03-16 17:51:08 UTC; rforge
Built: R 4.0.5; ; 2022-03-17 10:51:29 UTC; unix
