CSA Class Reference

Public Types
enum	Type { Bilateral , CallOnly , PostOnly }

Public Member Functions
	CSA (const Type &type, const string &csaCurrency, const string &index, const Real &thresholdPay, const Real &thresholdRcv, const Real &mtaPay, const Real &mtaRcv, const Real &iaHeld, const string &iaType, const Period &marginCallFreq, const Period &marginPostFreq, const Period &mpr, const Real &collatSpreadPay, const Real &collatSpreadRcv, const vector< string > &eligCollatCcys, bool applyInitialMargin, Type initialMarginType, const bool calculateIMAmount, const bool calculateVMAmount)
const Type &	type () const
	Inspectors. More...
const string &	csaCurrency () const
const string &	index () const
Real	thresholdPay () const
Real	thresholdRcv () const
Real	mtaPay () const
Real	mtaRcv () const
Real	independentAmountHeld () const
const string &	independentAmountType () const
const Period &	marginCallFrequency () const
const Period &	marginPostFrequency () const
const Period &	marginPeriodOfRisk () const
Real	collatSpreadRcv () const
Real	collatSpreadPay () const
vector< string >	eligCollatCcys () const
bool	applyInitialMargin ()
Type	initialMarginType ()
bool	calculateIMAmount ()
bool	calculateVMAmount ()
void	invertCSA ()
void	validate ()

Member Enumeration Documentation

Type

enum Type

Enumeration 'Type' specifies what type of collateral agreement is in place.

• 'Bilateral' => both sides can request collateral margins
• 'PostOnly' => only the counterparty is allowed to issue a call for additional collateral
• 'CallOnly' => only WE are allowed to issue a margin call for additional collateral

Member Function Documentation

type()

const Type& type

(

)

const

Inspectors.

Nature of CSA margining agreement (e.g. Bilateral, PostOnly, CallOnly)

csaCurrency()

const string& csaCurrency

(

)

const

Master Currency of CSA

index()

const string& index

(

)

const

Index that determines the compounding rate

thresholdPay()

Real thresholdPay

(

)

const

Threshold amount for margin calls issued by counterparty

thresholdRcv()

Real thresholdRcv

(

)

const

Threshold amount when issuing calls to counterparty

mtaPay()

Real mtaPay

(

)

const

Minimum Transfer Amount when posting collateral to counterparty

mtaRcv()

Real mtaRcv

(

)

const

Minimum Transfer Amount when receiving collateral from counterparty

independentAmountHeld()

Real independentAmountHeld

(

)

const

Sum of Independent Amounts covered by the CSA (positive => we hold the amount)

independentAmountType()

const string& independentAmountType

(

)

const

'Type' of Independent Amount as specified in the CSA

marginCallFrequency()

const Period& marginCallFrequency

(

)

const

Margining Frequency when requesting collateral from counterparty (e.g. "1D", "1W")

marginPostFrequency()

const Period& marginPostFrequency

(

)

const

Margining Frequency when counterparty is requesting collateral (e.g. "1D", "1W")

marginPeriodOfRisk()

const Period& marginPeriodOfRisk

(

)

const

Margin Period of Risk (e.g. "1M")

collatSpreadRcv()

Real collatSpreadRcv

(

)

const

Spread for interest accrual on held collateral

collatSpreadPay()

Real collatSpreadPay

(

)

const

Spread for interest accrual on posted collateral

eligCollatCcys()

vector<string> eligCollatCcys

(

)

const

Eligible Collateral Currencies

applyInitialMargin()

bool applyInitialMargin

(

)

Apply (dynamic) initial margin in addition to variation margin

initialMarginType()

Type initialMarginType

(

)

Direction of (dynamic) initial margin

calculateIMAmount()

bool calculateIMAmount

(

)

Calculate SIMM as IM (currently used only for SA-CCR)

calculateVMAmount()

bool calculateVMAmount

(

)

Calculate VM from NPV (currently used only for SA-CCR)

invertCSA()

void invertCSA

(

)

invert all relevant aspects of the CSA