R Development Page
Contributed R Packages
Below is a list of all packages provided by project Counterparty Credit Risk Management.
Important note for package binaries: R-Forge provides these binaries only for the most recent version of R, but not for older versions. In order to successfully install the packages provided on R-Forge, you have to switch to the most recent version of R or, alternatively, install from the package sources (.tar.gz).
Packages
| SACCR | SA Counterparty Credit Risk under CRR2 | |||||||||
| Computes the Exposure-At-Default based on the standardized approach of CRR2 (SA-CCR). The simplified version of SA-CCR has been included, as well as the OEM methodology. Multiple trade types of all the five major asset classes are being supported including the Other Exposure and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees per Counterparty and CSA after automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory papers (both for the margined and the un-margined workflow) have been implemented including the latest CRR2 developments. | ||||||||||
| Version: 3.2 | Last change: 2022-02-26 12:42:38+01 | Rev.: 55 | ||||||||||
Download:
 (.tar.gz) |
 (.zip) |
Build status: Current | Stable Release: Get SACCR 3.2 from CRAN | ||||||||||
R install command:
install.packages("SACCR", repos="http://R-Forge.R-project.org") | ||||||||||
|
| Trading | CCR, Advanced Correlation & Beta Estimates, Betting Strategies | |||||||||
| Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. Furthermore, odds calculators and P&L back-testing functionality has been implemented for the most widely used betting/trading strategies including martingale, DAlembert, Labouchere and Fibonacci. Back-testing has also been included for the EuroMillions and EuroJackpot lotteries. Furthermore, some basic functionality about climate risk has been included. | ||||||||||
| Version: 3.0 | Last change: 2024-02-13 12:38:34+01 | Rev.: 71 | ||||||||||
|
Download:
(.tar.gz) |
(.zip) |
Build status: Current | Stable Release: Get Trading 3.0 from CRAN | ||||||||||
R install command:
install.packages("Trading", repos="http://R-Forge.R-project.org") | ||||||||||
|
| xVA | Calculates 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 three 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 IRSwaps. The latest regulatory capital charge methodologies have been implementing including BA-CVA & SA-CVA. | ||||||||||||
| Version: 1.1 | Last change: 2022-10-18 21:42:56+02 | Rev.: 68 | ||||||||||||
|
Download:
(.tar.gz) |
(.zip) |
Build status: Failed to build | Stable Release: Get xVA 1.1 from CRAN | ||||||||||||
R install command:
install.packages("xVA", repos="http://R-Forge.R-project.org") | ||||||||||||
|
Build status codes
0 - Current: the package is available for download. The corresponding package passed checks on the Linux and Windows platform without ERRORs.
1 - Scheduled for build: the package has been recognized by the build system and provided in the staging area.
2 - Building: the package has been sent to the build machines. It will be built and checked using the latest patched version of R. Note that it is included in a batch of several packages. Thus, this process will take some time to finish.
3 - Failed to build: the package failed to build or did not pass the checks on the Linux and/or Windows platform. It is not made available since it does not meet the policies.
4 - Conflicts: two or more packages of the same name exist. None of them will be built. Maintainers are asked to negotiate further actions.
5 - Offline: the package is not available. The build system may be offline or the package maintainer did not trigger a rebuild (done e.g., via committing to the package repository).
If your package is not shown on this page or not building, then check the build system status report.
