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, 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 <tasos@openriskcalculator.com>
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
[Package SACCR version 3.2 Index]