ExampleBasisVol

Calculates the Exposure at Default for a trade set containing basis and volatility transactions

Computes the Exposure-At-Default based on  the standardized approach
of CRR2 (SA-CCR). The simplified version of SA-CCR has been included, as well as the OEM methodology.
Multiple trade types of all the five major asset classes are being supported including the Other Exposure and, given the inheritance-
based structure of the application, the addition of further trade types
is straightforward. The application returns a list of trees per Counterparty and CSA after
automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the
netting sets and the risk factors. The basis and volatility transactions are
also identified and treated in specific hedging sets whereby the corresponding
penalty factors are applied. All the examples appearing on the
regulatory papers (both for the margined and the unmargined workflow) have been
implemented including the latest CRR2 developments.

Tasos Grivas

SACCR

SA Counterparty Credit Risk under CRR2

ExampleBasisVol function

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Arguments

Tasos Grivas &lt;tasos@openriskcalculator.com&gt;

Author

Basis+Volatility trades Example — ExampleBasisVol

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<dt>JSON</dt>
<dd>(optional) if TRUE it returns a json string</dd>

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ExampleBasisVol: Basis+Volatility trades Example

Description

Usage

Value

Arguments

Author

References