R: Credit Risk Valuation Adjustments

# Credit Risk Valuation Adjustments

## Documentation for package ‘xVA’ version 1.3

- DESCRIPTION file

## Help Pages

calcCVACapital | Calculates the CVA Capital Charge
calcDefCapital | Calculates the Default Capital Charge
calcEADRegulatory | Calculates the Exposure-At-Default (EAD)
calcEffectiveMaturity | Calculates the Effective Maturity
calcKVA | Calculates the Capital Valuation Adjustment (KVA)
CalcNGR | Calculates the Net/Gross ratio (NGR)
CalcPD | Calculates the Probablity of Default
CalcSimulatedExposure | Calculated the Simulated Exposure Profile
CalcVA | Calculates the Valuation Adjustment
IS_ELIGIBLE_CCY | Checks if specified currency is low risk
IS_IG | Checks if Credit rating is Investment Grade
LoadSupervisoryCVAData | Supervisory Data Loading
xVACalculator | Calculates the xVA values
xVACalculatorExample | xVA calculation example