Calculator for sa-ccr

A Python implementation to calculate the counterparty credit risk under Basel III Standardized Approach for Counterparty Credit Risk Management

Conditions:

• IRS and Swaption only
• Unmargined trades only

How-to Guide

1. Run the calculator in Powershell/Terminal

python calculator.py
Please enter name of the json file without ending:
# Enter "test" to run through the test files in the exercise sheet
# You can also enter "example" to go through Example 1 in the reg text's appendix

# Result should be saved in an Excel file called "Output", under the "Result" tab

Run unittest in Powershell/Terminal Pytest Installation

# install pytest
pip install -U pytest
# run pytest
pytest