Package: SACCR
Type: Package
Title: SA Counterparty Credit Risk under Basel III
Version: 2.1
Date: 2016-11-27
Author: Tasos Grivas
Maintainer: Tasos Grivas <info@openriskcalculator.com>
Description: Computes the Exposure-At-Default based on standardized approach
    of the Basel III Regulatory framework (SA-CCR). Currently, trade types of all
    the five major asset classes have been created and, given the inheritance-
    based structure of the application, the addition of further trade types
    is straightforward. The application returns a list of trees (one per CSA) after
    automatically separating the trades based on 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 paper (including the margined and the un-margined workflow) have been
    implemented.
License: GPL-3
Imports: methods,Trading,data.tree,jsonlite
URL: www.openriskcalculator.com
Collate: 'CalcAddon.R' 'CalcEAD.R' 'CalcPFE.R' 'CalcRC.R'
        'ExampleBasisVol.R' 'ExampleComm.R' 'ExampleCredit.R'
        'ExampleFX.R' 'ExampleIRD.R' 'ExampleIRDCommMargined.R'
        'ExampleIRDCredit.R' 'HandleBasisVol.R' 'LoadSupervisoryData.R'
        'runExampleCalcs.R' 'CalculateFactorMult.R'
        'CreateTradeGraph.R' 'GroupCommTrades.R' 'GroupCreditTrades.R'
        'GroupEquityTrades.R' 'GroupFXTrades.R' 'GroupIRDTrades.R'
        'GroupTrades.R' 'SACCRCalculator.R' 'SingleTradeAddon.R'
NeedsCompilation: no
RoxygenNote: 5.0.1
Packaged: 2016-11-27 21:55:14 UTC; tasos
Repository: CRAN
Date/Publication: 2016-11-28 13:26:21
