Package: SACCR
Type: Package
Title: SA Counterparty Credit Risk under Basel III
Version: 1.5
Date: 2016-03-01
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 automatically separates the trades on the
    corresponding hedging and netting sets including the basis and volatility
    transactions. All the examples appearing on the regulatory paper (including the
    margined and the un-margined workflow) have been implemented.
License: GPL-3
Imports: methods
URL: www.openriskcalculator.com
Collate: 'CSA.R' 'CalcAddon.R' 'CalcEAD.R' 'CalcPFE.R' 'CalcRC.R'
        'Trade.R' 'Swap.R' 'Commodity.R' 'Credit.R' 'ExampleBasisVol.R'
        'ExampleComm.R' 'ExampleCredit.R' 'ExampleFX.R' 'ExampleIRD.R'
        'ExampleIRDCommMargined.R' 'ExampleIRDCredit.R' 'FX.R'
        'HandleBasisVol.R' 'Vol.R' 'IRD.R' 'LoadSupervisoryData.R'
        'runExampleCalcs.R'
NeedsCompilation: no
Packaged: 2016-03-03 23:28:42 UTC; tasos
Repository: CRAN
Date/Publication: 2016-03-04 08:25:16
