CalcAddon {SACCR} | R Documentation |
Calculates the amount of the addon for each heding/nettting set
CalcAddon(trades_tree, MF)
trades_tree |
A tree structure with the input trades |
MF |
(Optional) The Maturity Factor based on the collateral agreement |
The aggregate amount of the addon summed up for all the asset classes
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm