SACCRCalculator: SA-CCR Calculator

In SACCR: SA Counterparty Credit Risk under CRR2

SA-CCR Calculator

Description

Returns a tree structure depicting the add-on calculations on different hedging/netting sets

Usage

SACCRCalculator(
  trades_filename,
  csa_filename,
  coll_filename,
  JSON = FALSE,
  simplified = FALSE,
  OEM = FALSE,
  export_results = FALSE,
  ignore_margin = FALSE
)

Arguments

trades_filename	a .csv file containing the trades
csa_filename	a .csv file containing CSAs
coll_filename	a .csv file containing collaterals
JSON	(optional) if TRUE it returns a json string
simplified	(optional) if TRUE, the simplified SA-CCR is being calculated
OEM	(optional) if TRUE, the Original Exposure Method is being calculated
export_results	(optional) if TRUE, a csv with the exposure at the top level will be exported
ignore_margin	(optional) if TRUE, the margin agreement workflow will be turned off

Value

The relevant exposure trees

Author(s)

Tasos Grivas <[e-mail]>

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.