SingleTradeAddon: Calculates the addon information
In SACCR: SA Counterparty Credit Risk under CRR2
View source: R/SingleTradeAddon.R
SingleTradeAddon R Documentation
Calculates the addon information
Description
Calculates the addon information (including Adj notional, superv delta etc) for each trade
Usage
SingleTradeAddon(trade, MF)
Arguments
trade
A trade object
MF
(Optional) The Maturity Factor based on the collateral agreement
Value
A list of addon information
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.
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.
View source: R/SingleTradeAddon.R
| SingleTradeAddon | R Documentation |
Calculates the addon information
Description
Calculates the addon information (including Adj notional, superv delta etc) for each trade
Usage
SingleTradeAddon(trade, MF)
Arguments
trade |
A trade object |
MF |
(Optional) The Maturity Factor based on the collateral agreement |
Value
A list of addon information
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.