calcKVA {xVA} | R Documentation |
Calculates the Capital Valuation Adjustment (KVA)
Description
Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital
Usage
calcKVA(
trades,
reg_data,
EAD,
effective_maturity,
ignore_def_charge = TRUE,
cva_capital_charge
)
Arguments
trades |
The full list of the Trade Objects |
reg_data |
A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM') |
EAD |
The Exposure-at-default calculated based on the prescribed framework as appearing in the 'reg_data' |
effective_maturity |
The effective maturity of the trades performed with a specific counterparty |
ignore_def_charge |
if set to true the default capital charge is set to zero |
cva_capital_charge |
The CVA Capital Charge linked to this portfolio |
Value
The capital valuation adjustment (KVA)
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
[Package xVA version 1.3 Index]