Collateral-class: Collateral Class

Description Arguments Value Author(s) References Examples

Description

Creates a Collateral amount object which needs to be linked with a CSA ID

Arguments

ID

The ID of each object

Amount

The collateral amount

csa_id

The csa_id that this object is linked with

type

Describes the type of the collateral: can be "ICA", "VariationMargin" etc

Value

An object of type Collateral

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

Examples

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colls = list()
coll_raw = read.csv(system.file("extdata", "coll.csv", package = "Trading"),header=TRUE,
stringsAsFactors = FALSE)

for(i in 1:nrow(coll_raw))
{
 colls[[i]] = Collateral()
 colls[[i]]$PopulateViaCSV(coll_raw[i,])
}

Trading documentation built on Aug. 12, 2020, 5:08 p.m.