SingleTradeAddon: Calculates the addon information

Description Usage Arguments Value Author(s) References

Description

Calculates the addon information (including Adj notional, superv delta etc) for each trade

Usage

1
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

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



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