SingleTradeAddon {SACCR}

Calculates the addon information

Description

Calculates the addon information (including Adj notional, superv delta etc) for each trade

Usage

SingleTradeAddon(trade, MF)

Arguments

trade

A trade object

MF

(Optional) The Maturity Factor based on the collateral agreement

Value

A list of addon information

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