Man pages for SACCR
SA Counterparty Credit Risk under CRR2

CalcAddonCalculates the Addon amount
CalcEADCalculates the EAD
CalcPFECalculates the PFE
CalcRCCalculates the RC
CreateTradeGraphCreates a tree-like structure of a list of trades
DetermineCCRMethodologySpecifies the CCR methodology
ExampleBasisVolBasis+Volatility trades Example
ExampleCommCommodities Example
ExampleCreditCredit Products Example
ExampleFXFX Example
ExampleIRDIRDs Example
ExampleIRDCommMarginedMargined IRDs+Commodity Example
ExampleIRDCreditIRDs+Commodity Example
HandleBasisVolSplits trades in being basis, volatility or 'normal'...
LoadSupervisoryDataSupervisory Data Loading
SACCRCalculatorSA-CCR Calculator
SingleTradeAddonCalculates the addon information
SACCR documentation built on March 18, 2022, 7:01 p.m.