CalcAddon

trades

(Optional) The Maturity Factor based on the collateral agreement

(Optional) The Multiplication Factor applicable for volatility/basis trades

factor_mult


Calculates the aggregate amount of the addon after splitting per asset class
and dividing the trades into the corresponding netting sets per currency, timebucket  etc.


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.

CalcAddon: Calculates the Addon amount

Description

Usage

Arguments

Value

References