CalcRC {SACCR}

Calculates the RC

Description

Calculates the Replacement Cost(RC) and the sum of the MtMs for all the trades

Usage

CalcRC(trades, csa, collaterals, simplified, ignore_margin = FALSE)

Arguments

trades

The full list of the Trade Objects

csa

(Optional) The CSA objects

collaterals

(Optional) The collaterals Objects

simplified

(optional) When TRUE, collaterals will be ignored as per the simplified & OEM approach

ignore_margin

(optional) if TRUE, the margin agreement workflow will be turned off

Value

The replacement Cost and the sum of the MtMs

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