SACCRCalculator {SACCR}

SA-CCR Calculator

Description

Returns a tree structure depicting the add-on calculations on different hedging/netting sets

Usage

SACCRCalculator(
  trades_filename,
  csa_filename,
  coll_filename,
  JSON = FALSE,
  simplified = FALSE,
  OEM = FALSE,
  export_results = FALSE,
  ignore_margin = FALSE
)

Arguments

trades_filename

a .csv file containing the trades

csa_filename

a .csv file containing CSAs

coll_filename

a .csv file containing collaterals

JSON

(optional) if TRUE it returns a json string

simplified

(optional) if TRUE, the simplified SA-CCR is being calculated

OEM

(optional) if TRUE, the Original Exposure Method is being calculated

export_results

(optional) if TRUE, a csv with the exposure at the top level will be exported

ignore_margin

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

Value

The relevant exposure trees

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