Calculates the RC

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Description

Calculates the Replacement Cost(RC) and the sum of the MtMs for all the trades

Usage

1
CalcRC(trades, csa, collaterals)

Arguments

trades

The full list of the Trade Objects

csa

(Optional) The CSA objects

collaterals

(Optional) The collaterals Objects

Value

The replacement Cost and the sum of the MtMs

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm