Package: xVA
Type: Package
Title: Calculates Credit Risk Valuation Adjustments
Version: 0.8.5
Date: 2020-08-16
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.
    Currently, only IRSwaps are supported. For more information, you can check
    one of the books regarding xVA: <http://www.cvacentral.com/books/credit-value-adjustment>.
License: GPL-3
Imports: methods, SACCR, Trading
URL: https://openriskcalculator.com/
LazyData: TRUE
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'
NeedsCompilation: no
RoxygenNote: 7.1.1
Repository: CRAN
Repository/R-Forge/Project: ccr
Repository/R-Forge/Revision: 44
Repository/R-Forge/DateTimeStamp: 2020-08-29 07:21:15
Date/Publication: 2020-08-30 01:00:02 UTC
Packaged: 2020-08-29 07:27:06 UTC; rforge
