CSA-class: CSA Class

In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

CSA Class

Description

Creates a collateral agreement Object containing all the relevant data and methods regarding the maturity factor and the calculation of the exposures after applying the relevant threshold

Arguments

ID	The ID of the CSA ID
Counterparty	The counterparty the CSA is linked to
Currency	The currency that the CSA applies to (can be a list of different currencies)
TradeGroups	The trade groups that the CSA applies to
Values_type	The type of the numerical values (can be "Actual" or "Perc" whereby the values are percentages of the MtM)
thres_cpty	The maximum exposure that the counterparty can generate before collateral will need to be posted
thres_PO	The maximum exposure that the processing organization can generate before collateral will need to be posted
MTA_cpty	The minimum transfer amount for the counterparty
MTA_PO	The minimum transfer amount for the processing organization
IM_cpty	The initial margin that is posted by the counterparty
IM_PO	The initial margin that is posted by the processing organization
mpor_days	The margin period of risk in days
remargin_freq	The frequency of re-margining the exposure in days
rounding	The rounding amount of the transfers

Value

An object of type CSA

Author(s)

Tasos Grivas <[e-mail]>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Examples

  csa_raw = read.csv(system.file("extdata", "CSA.csv", package = "Trading"),
  header=TRUE,stringsAsFactors = FALSE)

csas = list()
for(i in 1:nrow(csa_raw))
{
 csas[[i]] = CSA()
 csas[[i]]$PopulateViaCSV(csa_raw[i,])
}

Trading documentation built on Feb. 13, 2024, 3 a.m.