xVA
Credit Risk Valuation Adjustments
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.3 |
rolling linux/jammy R-4.5 | xVA_1.3.tar.gz |
68.5 KiB |
1.3 |
rolling linux/noble R-4.5 | xVA_1.3.tar.gz |
68.3 KiB |
1.3 |
rolling source/ R- | xVA_1.3.tar.gz |
15.7 KiB |
1.3 |
latest linux/jammy R-4.5 | xVA_1.3.tar.gz |
68.5 KiB |
1.3 |
latest linux/noble R-4.5 | xVA_1.3.tar.gz |
68.3 KiB |
1.3 |
latest source/ R- | xVA_1.3.tar.gz |
15.7 KiB |
1.3 |
2026-04-26 source/ R- | xVA_1.3.tar.gz |
15.7 KiB |
1.3 |
2026-04-23 source/ R- | xVA_1.3.tar.gz |
15.7 KiB |
1.3 |
2026-04-09 windows/windows R-4.5 | xVA_1.3.zip |
74.1 KiB |