SACCRCalculator {SACCR}R Documentation

SA-CCR Calculator

Description

The main function of the package which receives in csv format the trades, the CSAs and the colletaral amounts that have already been exchanged

Usage

SACCRCalculator(trades_filename, csa_filename, coll_filename, JSON = FALSE)

Arguments

trades_filename

a .csv file containing the trades

csa_filename

a .csv file containing CSAs

coll_filename

a .csv file containing collaterals

JSON

(optional) if TRUE it returns a json string

Value

A tree structure depicting the add-on calculations on different hedging/netting sets

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


[Package SACCR version 2.3 Index]