the Basel III Regulatory framework (SA-CCR). It also includes an object-oriented
solution for the generation of the trades.
Collate: 'CSA.R' 'CalcAddon.R' 'CalcEAD.R' 'CalcPFE.R' 'CalcRC.R'

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.
'Trade.R' 'Swap.R' 'Commodity.R' 'Credit.R' 'ExampleBasisVol.R'

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
Collate: 'CalcAddon.R' 'CalcEAD.R' 'CalcPFE.R' 'CalcRC.R'

implemented including the latest FAQ enhancements.
Imports: methods, data.tree, jsonlite, Trading

Title: SA Counterparty Credit Risk under CRR2
Description: Computes the Exposure-At-Default based on  the standardized approach
of CRR2 (SA-CCR). The simplified version of SA-CCR has been included, as well as the OEM methodology.
Multiple trade types of all the five major asset classes are being supported including the 'Other' Exposure and, given the inheritance-
is straightforward. The application returns a list of trees per Counterparty and CSA after
automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the
regulatory papers (both for the margined and the un-margined workflow) have been
implemented including the latest CRR2 developments.