Calculates the Exposure-At-Default (EAD)

Description

Calculates the Exposure-At-Default (EAD) based on the given regulatory framework. It supports the CEM, SA-CCR and IMM frameworks

Usage

1
calcEAD(trades, framework, col, EEE, time_points)

Arguments

trades

The full list of the Trade Objects

framework

Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'

col

The margin agreement with the counterparty

EEE

A vector containing the effective expected exposure against the counterparty

time_points

The timepoints that the analysis is performed on

Value

The Exposure-At-Default

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>


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