SA Counterparty Credit Risk under Basel III


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Documentation for package ‘SACCR’ version 1.5

Help Pages

CalcAddon Calculates the Addon amount
CalcEAD Calculates the EAD
CalcPFE Calculates the PFE
CalcRC Calculates the RC
Commodity Commodity Class
CommSwap Commodity Swap Class
CreditIndex Credit Index Class
CreditSingle Credit Single Class
CSA CSA Class
ExampleBasisVol Basis+Volatility trades Example
ExampleComm Commodities Example
ExampleCredit Credit Products Example
ExampleFX FX Example
ExampleIRD IRDs Example
ExampleIRDCommMargined Margined IRDs+Commodity Example
ExampleIRDCredit IRDs+Commodity Example
FXSwap FX Swap Class
HandleBasisVol Calculates the Addon amount after handling basis and Volatility trades
IRDSwap IRD Swap Class
IRDSwaption IRD Swaption Class
IRDSwapVol IRD Swap Volatility Class
LoadSupervisoryData Supervisory Data Loading