CalcAddon: Calculates the Addon amount
In SACCR: SA Counterparty Credit Risk under CRR2
CalcAddon R Documentation
Calculates the Addon amount
Description
Calculates the amount of the addon for each heding/nettting set
Usage
CalcAddon(trades_tree, MF, simplified = FALSE, OEM = FALSE)
Arguments
trades_tree
A tree structure with the input trades
MF
(Optional) The Maturity Factor based on the collateral agreement
simplified
(optional) When TRUE, the add-ons will be calculated as per the simplified SA-CCR
OEM
(optional) When TRUE, the add-ons will be calculated as per the Original Exposure Method
Value
The aggregate amount of the addon summed up for all the asset classes
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019
http://data.europa.eu/eli/reg/2019/876/oj
SACCR documentation built on March 18, 2022, 7:01 p.m.
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| CalcAddon | R Documentation |
Calculates the Addon amount
Description
Calculates the amount of the addon for each heding/nettting set
Usage
CalcAddon(trades_tree, MF, simplified = FALSE, OEM = FALSE)
Arguments
trades_tree |
A tree structure with the input trades |
MF |
(Optional) The Maturity Factor based on the collateral agreement |
simplified |
(optional) When TRUE, the add-ons will be calculated as per the simplified SA-CCR |
OEM |
(optional) When TRUE, the add-ons will be calculated as per the Original Exposure Method |
Value
The aggregate amount of the addon summed up for all the asset classes
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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