The maximum exposure that can be generated against the counterparty before collateral will need to be posted

thres_cpty

The maximum exposure that can be generated against the processing organization before collateral will need to be posted

thres_PO

The minimum transfer amount for the counterparty

MTA_cpty

The minimum transfer amount for the processing organization

MTA_PO

The initial margin that is posted by the counterparty

IM_cpty

The initial margin that is posted by the processing organization

IM_PO

mpor_days

The frequency of re-margining the exposure (in days)

remargin_freq

rounding


Creates a collateral agreement Object containing all the relevant data and methods regarding the maturity factor of the sa-ccr and the 'thresholding' of the exposures


CSA-class

Computes the Exposure-At-Default based on standardized approach
of the Basel III Regulatory framework (SA-CCR). Currently, trade types of all
the five major asset classes have been created and, given the inheritance-
based structure of the application, the addition of further trade types is
straightforward. The application automatically separates the trades on the
corresponding hedging and netting sets including the basis and volatility
transactions. All the examples appearing on the regulatory paper (including the
margined and the un-margined workflow) have been implemented.

CSA-class: CSA Class

Description

Arguments

Value

References

Examples