{ "_id": "6a1ef076b401979e7341312f", "Package": "SACCR", "Type": "Package", "Title": "SA Counterparty Credit Risk under CRR2", "Version": "3.4", "Date": "2026-01-17", "Author": "Tasos Grivas [aut, cre]", "Authors@R": "person(given = \"Tasos\", \nfamily = \"Grivas\",\nrole = c(\"aut\", \"cre\"),\nemail = \"info@openriskcalculator.com\")", "Maintainer": "Tasos Grivas ", "Description": "Computes the Exposure-At-Default based on the standardized\napproach of CRR2 (SA-CCR). The simplified version of SA-CCR has\nbeen included, as well as the OEM methodology. Multiple trade\ntypes of all the five major asset classes are being supported\nincluding the Other Exposure and, given the inheritance- based\nstructure of the application, the addition of further trade\ntypes is straightforward. The application returns a list of\ntrees per Counterparty and CSA after automatically separating\nthe trades based on the Counterparty, the CSAs, the hedging\nsets, the netting sets and the risk factors. The basis and\nvolatility transactions are also identified and treated in\nspecific hedging sets whereby the corresponding penalty factors\nare applied. All the examples appearing on the regulatory\npapers (both for the margined and the unmargined workflow) have\nbeen implemented including the latest CRR2 developments.", "License": "GPL-3", "URL": "https://openriskcalculator.com/", "Collate": "'CalcAddon.R' 'CalcEAD.R' 'CalcPFE.R' 'CalcRC.R'\n'ExampleBasisVol.R' 'ExampleComm.R' 'ExampleCredit.R'\n'ExampleFX.R' 'ExampleIRD.R' 'ExampleIRDCommMargined.R'\n'ExampleIRDCredit.R' 'HandleBasisVol.R' 'LoadSupervisoryData.R'\n'runExampleCalcs.R' 'CalculateFactorMult.R'\n'CreateTradeGraph.R' 'GroupCommTrades.R' 'GroupCreditTrades.R'\n'GroupEquityTrades.R' 'GroupFXTrades.R' 'GroupIRDTrades.R'\n'GroupTrades.R' 'SACCRCalculator.R' 'SingleTradeAddon.R'\n'onLoad.R' 'DetermineCCRMethodology.R' 'GroupOtherTrades.R'\n'ExampleFXHedge.R'", "NeedsCompilation": "no", "RoxygenNote": "7.3.2", "Packaged": { "Date": "2026-05-19 08:22:45 UTC", "User": "root" }, "Config/pak/sysreqs": "libgmp3-dev libicu-dev libpng-dev python3", "Repository": "https://sa-ccr.r-universe.dev", "Date/Publication": "2026-01-19 06:51:00 UTC", "RemoteUrl": "https://github.com/cran/SACCR", "RemoteRef": "HEAD", "RemoteSha": "5bb9de67d2c353cda095d8e4681d0023e630defd", "MD5sum": "a2f42088ebdb9948b801a286152376e7", "_user": "sa-ccr", "_type": "src", "_file": "SACCR_3.4.tar.gz", "_fileid": "006b5310a0905d1a175f074253dec79af5fa179e39a199c644242c8a5adda879", "_filesize": 126005, "_sha256": "006b5310a0905d1a175f074253dec79af5fa179e39a199c644242c8a5adda879", "_created": "2026-05-19T08:22:45.000Z", "_published": "2026-06-02T15:02:14.194Z", "_distro": "noble", "_jobs": [ { "job": 79102114122, "time": 158, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7078444339" }, { "job": 79102114048, "time": 171, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7078449088" }, { "job": 79102114757, "time": 90, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7078422324" }, { "job": 79102113903, "time": 155, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7078442891" }, { "job": 79102112861, "time": 220, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7078391329" }, { "job": 79102112997, "time": 110, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7361505192" }, { "job": 79102113533, "time": 153, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7078445319" }, { "job": 79102113943, "time": 107, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7078427876" }, { "job": 79102113941, "time": 105, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7078426779" } ], "_buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/26085158304", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/SACCR", "_commit": { "id": "5bb9de67d2c353cda095d8e4681d0023e630defd", "author": "Tasos Grivas ", "committer": "cran-robot ", "message": "version 3.4\n", "time": 1768805460 }, "_maintainer": { "name": "Tasos Grivas", "email": "info@openriskcalculator.com", "login": "sa-ccr", "description": "", "uuid": 14264331 }, "_registered": true, "_dependencies": [ { "package": "methods", "role": "Imports" }, { "package": "data.tree", "role": "Imports" }, { "package": "jsonlite", "role": "Imports" }, { "package": "Trading", "role": "Imports" } ], "_owner": "cran", "_selfowned": true, "_usedby": 1, "_updates": [ { "week": "2026-04", "n": 1 } ], "_tags": [ { "name": "3.4", "date": "2026-01-19" } ], "_stars": 0, "_contributors": [ { "user": "sa-ccr", "count": 11, "uuid": 14264331 } ], "_userbio": { "uuid": 14264331, "type": "user", "name": "sa-ccr" }, "_downloads": { "count": 600, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/SACCR" }, "_searchresults": 2, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/SACCR.html", "manual.pdf" ], "_realowner": "sa-ccr", "_cranurl": false, "_releases": [ { "version": "1.0", "date": "2015-10-11" }, { "version": "1.1", "date": "2015-12-27" }, { "version": "1.5", "date": "2016-03-04" }, { "version": "2.0", "date": "2016-11-22" }, { "version": "2.1", "date": "2016-11-28" }, { "version": "2.3", "date": "2019-01-13" }, { "version": "3.0", "date": "2020-08-24" }, { "version": "3.1", "date": "2021-07-05" }, { "version": "3.2", "date": "2022-02-28" }, { "version": "3.3", "date": "2025-05-13" }, { "version": "3.4", "date": "2026-01-19" } ], "_exports": [ "CalcAddon", "CalcEAD", "CalcPFE", "CalcRC", "CreateTradeGraph", "ExampleBasisVol", "ExampleComm", "ExampleCredit", "ExampleFX", "ExampleFXHedge", "ExampleIRD", "ExampleIRDCommMargined", "ExampleIRDCredit", "HandleBasisVol", "LoadSupervisoryData", "SACCRCalculator", "SingleTradeAddon" ], "_help": [ { "page": "CalcAddon", "title": "Calculates the Addon amount", "topics": [ "CalcAddon" ] }, { "page": "CalcEAD", "title": "Calculates the EAD", "topics": [ "CalcEAD" ] }, { "page": "CalcPFE", "title": "Calculates the PFE", "topics": [ "CalcPFE" ] }, { "page": "CalcRC", "title": "Calculates the RC", "topics": [ "CalcRC" ] }, { "page": "CreateTradeGraph", "title": "Creates a tree-like structure of a list of trades", "topics": [ "CreateTradeGraph" ] }, { "page": "DetermineCCRMethodology", "title": "Specifies the CCR methodology", "topics": [ "DetermineCCRMethodology" ] }, { "page": "ExampleBasisVol", "title": "Basis+Volatility trades Example", "topics": [ "ExampleBasisVol" ] }, { "page": "ExampleComm", "title": "Commodities Example", "topics": [ "ExampleComm" ] }, { "page": "ExampleCredit", "title": "Credit Products Example", "topics": [ "ExampleCredit" ] }, { "page": "ExampleFX", "title": "FX Example", "topics": [ "ExampleFX" ] }, { "page": "ExampleFXHedge", "title": "FX Example", "topics": [ "ExampleFXHedge" ] }, { "page": "ExampleIRD", "title": "IRDs Example", "topics": [ "ExampleIRD" ] }, { "page": "ExampleIRDCommMargined", "title": "Margined IRDs+Commodity Example", "topics": [ "ExampleIRDCommMargined" ] }, { "page": "ExampleIRDCredit", "title": "IRDs+Commodity Example", "topics": [ "ExampleIRDCredit" ] }, { "page": "HandleBasisVol", "title": "Splits trades in being basis, volatility or 'normal' transactions", "topics": [ "HandleBasisVol" ] }, { "page": "LoadSupervisoryData", "title": "Supervisory Data Loading", "topics": [ "LoadSupervisoryData" ] }, { "page": "SACCRCalculator", "title": "SA-CCR Calculator", "topics": [ "SACCRCalculator" ] }, { "page": "SingleTradeAddon", "title": "Calculates the addon information", "topics": [ "SingleTradeAddon" ] } ], "_rundeps": [ "cellranger", "cli", "cpp11", "crayon", "data.table", "data.tree", "farver", "ggplot2", "glue", "gmp", "gtable", "here", "hms", "isoband", "jsonlite", "labeling", "lattice", "lifecycle", "magrittr", "Matrix", "PerformanceAnalytics", "pillar", "pkgconfig", "png", "prettyunits", "progress", "quadprog", "R6", "rappdirs", "RColorBrewer", "Rcpp", "RcppAlgos", "RcppTOML", "readxl", "rematch", "reticulate", "rlang", "rprojroot", "S7", "scales", "stringi", "tibble", "Trading", "utf8", "vctrs", "viridisLite", "withr", "xts", "zoo" ], "_score": 1.4771212547196624, "_indexed": true, "_nocasepkg": "saccr", "_universes": [ "sa-ccr" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "3.4", "date": "2026-05-19T08:25:01.000Z", "distro": "noble", "commit": "5bb9de67d2c353cda095d8e4681d0023e630defd", "fileid": "2bd13fc696a22f706dbc55aded9e69dc48c9d43686d55c66f9f3e3ce1886b28b", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/sa-ccr/actions/runs/26085158304" }, { "r": "4.6.0", "os": "linux", "version": "3.4", "date": "2026-05-19T08:25:15.000Z", "distro": "noble", "commit": "5bb9de67d2c353cda095d8e4681d0023e630defd", "fileid": "10ab2c5c6bd704896b3f8e0d7c48b56fefc7b5921920aa1ddafe3474ef8fd9e6", "status": "success", "check": "OK", "buildurl": 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