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 string &nonExemptIMRegulations)
const Type &	type () const
	Inspectors.
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 ()
const string &	nonExemptIMRegulations ()
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)

nonExemptIMRegulations()

const string & nonExemptIMRegulations

(

)

IM regulations (whose trade sensitivities are usually exempt from margin/sensi calc) that we wish to include (currently used only for SA-CCR)

invertCSA()

void invertCSA

(

)

invert all relevant aspects of the CSA