SACCRCalculator {SACCR} | R Documentation |
The main function of the package which receives in csv format the trades, the CSAs and the colletaral amounts that have already been exchanged
SACCRCalculator(trades_filename, csa_filename, coll_filename, JSON = FALSE)
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 |
A tree structure depicting the add-on calculations on different hedging/netting sets
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm