CalcAddon: Calculates the Addon amount
In sa-ccr/SACCR: SA Counterparty Credit Risk under CRR2

Description Usage Arguments Value Author(s) References

View source: R/CalcAddon.R

Calculates the amount of the addon for each heding/nettting set

1	CalcAddon(trades_tree, MF, simplified = FALSE, OEM = FALSE)

`trades_tree`	A tree structure with the input trades
`MF`	(Optional) The Maturity Factor based on the collateral agreement
`simplified`	(optional) When TRUE, the add-ons will be calculated as per the simplified SA-CCR
`OEM`	(optional) When TRUE, the add-ons will be calculated as per the Original Exposure Method

The aggregate amount of the addon summed up for all the asset classes

Tasos Grivas <tasos@openriskcalculator.com>

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

sa-ccr/SACCR documentation built on July 9, 2021, 10:18 p.m.

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