calcCVACapital {xVA} | R Documentation |
Calculates the CVA capital charge based on the standardized approach
calcCVACapital(trades, EAD, cpty_rating, effective_maturity)
trades |
The full list of the Trade Objects |
EAD |
Exposure-at-Default |
cpty_rating |
the rating of the counterparty |
effective_maturity |
The effective maturity of the trades of the netting set |
The CVA capital charge of the trade set
Tasos Grivas <tasos@openriskcalculator.com>