CalcAddon {SACCR}R Documentation

Calculates the Addon amount

Description

Calculates the amount of the addon for each heding/nettting set

Usage

CalcAddon(trades_tree, MF)

Arguments

trades_tree

A tree structure with the input trades

MF

(Optional) The Maturity Factor based on the collateral agreement

Value

The aggregate amount of the addon summed up for all the asset classes

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]