Nothing
#' Determines the CCR methodology that the institution is eligible to utilize.
#' The regulator allows the institutions to select less complicated methodologies when the derivatives trading business is negligible
#' @title Specifies the CCR methodology
#' @param trades_filename the file holding the trades of the portfolio
#' @param total_assets the total assets of the institution in mio EUR
#' @return The CCR methodology that the institution is eligible to utilize
#' @export
#' @author Tasos Grivas <info@@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
DetermineCCRMethodology <- function(trades_filename, total_assets) {
if(missing(trades_filename))
{ trades = read.csv(system.file("extdata", 'example_trades.csv', package = "Trading"),stringsAsFactors = FALSE,strip.white=TRUE)
}else{
trades = read.csv(trades_filename,stringsAsFactors = FALSE,strip.white=TRUE) }
trades = Trading::SelectDerivatives(trades)
derivatives_mv = sum(abs(unlist(lapply(trades, function(x) x$MtM))))
if(derivatives_mv/total_assets<0.05 & derivatives_mv<100000000)
{ methodology='Original Exposure Method'
}else if(derivatives_mv/total_assets<0.1 & derivatives_mv<300000000)
{ methodology='Simplified SA-CCR'
}else
{ methodology='SA-CCR'}
return(methodology)
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.