Trading (version 3.2)

CSA-class: CSA 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

Value

An object of type CSA

Arguments

ID

The ID of the CSA ID

Counterparty

The counterparty the CSA is linked to

Currency

The currency that the CSA applies to (can be a list of different currencies)

TradeGroups

The trade groups that the CSA applies to

Values_type

The type of the numerical values (can be "Actual" or "Perc" whereby the values are percentages of the MtM)

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

Author

Tasos Grivas <[e-mail]>

References

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

Examples

  csa_raw = read.csv(system.file("extdata", "CSA.csv", package = "Trading"),
  header=TRUE,stringsAsFactors = FALSE)

csas = list()
for(i in 1:nrow(csa_raw))
{
 csas[[i]] = CSA()
 csas[[i]]$PopulateViaCSV(csa_raw[i,])
}