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.
'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'

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.
'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'