CalcAddon {SACCR}

Calculates the Addon amount

Description

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

Usage

CalcAddon(trades_tree, MF, simplified = FALSE, OEM = FALSE)

Arguments

trades_tree

A tree structure with the input trades

MF

(Optional) The Maturity Factor based on the collateral agreement

simplified

(optional) When TRUE, the add-ons will be calculated as per the simplified SA-CCR

OEM

(optional) When TRUE, the add-ons will be calculated as per the Original Exposure Method

Value

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

Author(s)

Tasos Grivas <[e-mail]>

References

Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj