Package: xVA
Type: Package
Title: Credit Risk Valuation Adjustments
Version: 1.3
Date: 2025-05-23
Author: Tasos Grivas [aut, cre]
Authors@R: person(given = "Tasos", 
  family = "Grivas", 
  role = c("aut", "cre"), 
  email = "info@openriskcalculator.com")
Maintainer: Tasos Grivas <info@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 four 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 Interest Rate Swaps. The latest regulatory capital charge methodologies
    have been implementing including BA-CVA & SA-CVA.
License: GPL-3
Imports: methods, SACCR, Trading, data.table
URL: https://openriskcalculator.com/
Collate: 'CalcNGR.R' 'CalcPD.R' 'CalcSimulatedExposure.R' 'CalcVA.R'
        'GenerateTimeGrid.R' 'calcDefCapital.R' 'calcEADRegulatory.R'
        'calcEffectiveMaturity.R' 'calcKVA.R' 'xVACalculator.R'
        'xVACalculatorExample.R' 'onLoad.R' 'IS_ELIGIBLE_CCY.R'
        'IS_IG.R' 'LoadSupervisoryCVAData.R' 'calcCVACapital.R'
NeedsCompilation: no
RoxygenNote: 7.3.2
Repository: CRAN
Repository/R-Forge/Project: ccr
Repository/R-Forge/Revision: 65
Repository/R-Forge/DateTimeStamp: 2022-08-27 16:52:51
Date/Publication: 2025-05-30 09:50:01 UTC
Packaged: 2025-05-28 22:29:20 UTC; user1
Built: R 4.6.0; ; 2026-04-25 13:31:47 UTC; unix
