Collateral-class: Collateral Class
In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Collateral-class

R Documentation

Collateral Class

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



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 Feb. 13, 2024, 3 a.m.