CalcRC {SACCR} | R Documentation |
Calculates the Replacement Cost(RC) and the sum of the MtMs for all the trades
CalcRC(trades, csa, collaterals)
trades |
The full list of the Trade Objects |
csa |
(Optional) The CSA objects |
collaterals |
(Optional) The collaterals Objects |
The replacement Cost and the sum of the MtMs
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm