SACCR (1.5)

SA Counterparty Credit Risk under Basel III.

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.

Maintainer: Tasos Grivas
Author(s): Tasos Grivas

License: GPL-3

Uses: Does not use any package
Reverse suggests: Trading

Released almost 4 years ago.