CalcRC: Calculates the RC
In sa-ccr/SACCR: SA Counterparty Credit Risk under CRR2

Description Usage Arguments Value Author(s) References

View source: R/CalcRC.R

Calculates the Replacement Cost(RC) and the sum of the MtMs for all the trades

1	CalcRC(trades, csa, collaterals, simplified, ignore_margin = FALSE)

`trades`	The full list of the Trade Objects
`csa`	(Optional) The CSA objects
`collaterals`	(Optional) The collaterals Objects
`simplified`	(optional) When TRUE, collaterals will be ignored as per the simplified & OEM approach
`ignore_margin`	(optional) if TRUE, the margin agreement workflow will be turned off

The replacement Cost and the sum of the MtMs

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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