Trading (version 3.2)

Collateral-class: Collateral Class

Description

Creates a Collateral amount object which needs to be linked with a CSA ID

Value

An object of type Collateral

Arguments

ID

The ID of each object

Amount

The collateral amount

csa_id

The csa_id that this object is linked with

type

Describes the type of the collateral: can be "ICA", "VariationMargin" etc

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

colls = list()
coll_raw = read.csv(system.file("extdata", "coll.csv", package = "Trading"),header=TRUE,
stringsAsFactors = FALSE)

for(i in 1:nrow(coll_raw))
{
 colls[[i]] = Collateral()
 colls[[i]]$PopulateViaCSV(coll_raw[i,])
}