xVA (version 0.8)

CSAb-class: CSAb Class

Description

Creates a collateral agreement Object containing all the relevant data and methods regarding the maturity factor and the calculation of the exposures after applying the relevant threshold

Arguments

thres_cpty

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

thres_PO

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

MTA_cpty

The minimum transfer amount for the counterparty

MTA_PO

The minimum transfer amount for the processing organization

IM_cpty

The initial margin that is posted by the counterparty

IM_PO

The initial margin that is posted by the processing organization

mpor_days

The margin period of risk in days

remargin_freq

The frequency of re-margining the exposure in days

rounding

The rounding amount of the transfers

Value

An object of type CSAb

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Examples

## the margin agreement given in the Basel regulation example
coll = CSAb(thres_cpty = 0, MTA_cpty = 5, IM_cpty = 150, remargin_freq = 5)