calcEADRegulatory {xVA}

Calculates the Exposure-At-Default (EAD)

Description

Calculates the Exposure-At-Default (EAD) based on the given regulatory framework. It supports the CEM, IMM and (simplified) SA-CCR frameworks

Usage

calcEADRegulatory(
  trades,
  framework,
  sa_ccr_simplified = "",
  CSA,
  collateral,
  EEE,
  time_points
)

Arguments

trades

The full list of the Trade Objects

framework

Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'

sa_ccr_simplified

(Optional) Specifies whether the standard SACCR or its simplified version or the OEM will be implemented. It can take the values of ”, 'simplified', 'OEM'

CSA

The margin agreement with the counterparty

collateral

The amount of collaterals currently exchanged with the counterparty

EEE

A vector containing the effective expected exposure against the counterparty

time_points

The timepoints that the analysis is performed on

Value

The Exposure-At-Default

Author(s)

Tasos Grivas <[e-mail]>