| CSA-class {Trading} | R Documentation |
CSA Class
Description
Creates a collateral agreement Object containing all the relevant data and methods regarding the maturity factor and the calculation of the exposures after applying the relevant threshold
Arguments
ID |
The ID of the CSA ID |
Counterparty |
The counterparty the CSA is linked to |
Currency |
The currency that the CSA applies to (can be a list of different currencies) |
TradeGroups |
The trade groups that the CSA applies to |
Values_type |
The type of the numerical values (can be "Actual" or "Perc" whereby the values are percentages of the MtM) |
thres_cpty |
The maximum exposure that the counterparty can generate before collateral will need to be posted |
thres_PO |
The maximum exposure that the processing organization can generate before collateral will need to be posted |
MTA_cpty |
The minimum transfer amount for the counterparty |
MTA_PO |
The minimum transfer amount for the processing organization |
IM_cpty |
The initial margin that is posted by the counterparty |
IM_PO |
The initial margin that is posted by the processing organization |
mpor_days |
The margin period of risk in days |
remargin_freq |
The frequency of re-margining the exposure in days |
rounding |
The rounding amount of the transfers |
Value
An object of type CSA
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm
Examples
csa_raw = read.csv(system.file("extdata", "CSA.csv", package = "Trading"),
header=TRUE,stringsAsFactors = FALSE)
csas = list()
for(i in 1:nrow(csa_raw))
{
csas[[i]] = CSA()
csas[[i]]$PopulateViaCSV(csa_raw[i,])
}