SA Counterparty Credit Risk under CRR2
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Documentation for package ‘SACCR’ version 3.2
Help Pages
| CalcAddon | Calculates the Addon amount |
| CalcEAD | Calculates the EAD |
| CalcPFE | Calculates the PFE |
| CalcRC | Calculates the RC |
| CreateTradeGraph | Creates a tree-like structure of a list of trades |
| DetermineCCRMethodology | Specifies the CCR methodology |
| ExampleBasisVol | Basis+Volatility trades Example |
| ExampleComm | Commodities Example |
| ExampleCredit | Credit Products Example |
| ExampleFX | FX Example |
| ExampleIRD | IRDs Example |
| ExampleIRDCommMargined | Margined IRDs+Commodity Example |
| ExampleIRDCredit | IRDs+Commodity Example |
| HandleBasisVol | Splits trades in being basis, volatility or 'normal' transactions |
| LoadSupervisoryData | Supervisory Data Loading |
| SACCRCalculator | SA-CCR Calculator |
| SingleTradeAddon | Calculates the addon information |