SingleTradeAddon {SACCR} | R Documentation |
Calculates the addon information (including Adj notional, superv delta etc) for each trade
SingleTradeAddon(trade, MF)
trade |
A trade object |
MF |
(Optional) The Maturity Factor based on the collateral agreement |
A list of addon information
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm