Package: xVA
Type: Package
Title: Calculates Credit Risk Valuation Adjustments
Version: 0.8
Date: 2016-01-17
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, SA-CCR and
    IMM. The probability of default is implied through the credit spreads curve.
    Currently, only IRSwaps are supported.
License: GPL-3
Imports: methods, SACCR
URL: www.openriskcalculator.com
LazyData: TRUE
Collate: 'CSAb.R' 'CalcNGR.R' 'CalcPD.R' 'CalcSimulatedExposure.R'
        'CalcVA.R' 'Curve.R' 'GenerateTimeGrid.R' 'HashTable.R'
        'Trade.R' 'IRD.R' 'calcCVACapital.R' 'calcDefCapital.R'
        'calcEAD.R' 'calcEffectiveMaturity.R' 'calcKVA.R'
        'xVACalculator.R' 'xVACalculatorExample.R'
NeedsCompilation: no
Packaged: 2016-01-20 07:53:41 UTC; tasos
Repository: CRAN
Date/Publication: 2016-01-20 09:24:58
