CalcRC: Calculates the RC
In SACCR: SA Counterparty Credit Risk under CRR2
CalcRC R Documentation
Calculates the RC
Description
Calculates the Replacement Cost(RC) and the sum of the MtMs for all the trades
Usage
CalcRC(trades, csa, collaterals, simplified, ignore_margin = FALSE)
Arguments
trades
The full list of the Trade Objects
csa
(Optional) The CSA objects
collaterals
(Optional) The collaterals Objects
simplified
(optional) When TRUE, collaterals will be ignored as per the simplified & OEM approach
ignore_margin
(optional) if TRUE, the margin agreement workflow will be turned off
Value
The replacement Cost and the sum of the MtMs
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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| CalcRC | R Documentation |
Calculates the RC
Description
Calculates the Replacement Cost(RC) and the sum of the MtMs for all the trades
Usage
CalcRC(trades, csa, collaterals, simplified, ignore_margin = FALSE)
Arguments
trades |
The full list of the Trade Objects |
csa |
(Optional) The CSA objects |
collaterals |
(Optional) The collaterals Objects |
simplified |
(optional) When TRUE, collaterals will be ignored as per the simplified & OEM approach |
ignore_margin |
(optional) if TRUE, the margin agreement workflow will be turned off |
Value
The replacement Cost and the sum of the MtMs
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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