CalcRC

trades

(Optional) The collateral Agreement object covering the trade list

coll_agreement

(Optional) The current value of the collateral posted from the counterparty to the processing org

current_collateral


Calculates the Replacement Cost(RC) and the sum of the MtMs for all the trades


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.

CalcRC: Calculates the RC

Description

Usage

Arguments

Value

References