SACCR

3.4

SA Counterparty Credit Risk under CRR2

1packages depend

5.4Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Tasos GrivasFirst published 2015-10-1111 releasesCRAN page ↗

Computes the Exposure-At-Default based on the standardized approach of CRR2 (SA-CCR). The simplified version of SA-CCR has been included, as well as the OEM methodology. Multiple trade types of all the five major asset classes are being supported including the Other Exposure and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees per Counterparty and CSA after automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory papers (both for the margined and the unmargined workflow) have been implemented including the latest CRR2 developments.

Install

R (CRAN)Ubuntu (r2u)openSUSE (OBS)

install.packages("SACCR", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-saccr

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-SACCR

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.9 min · r-devel-linux-x86_64-fedora-clang

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 100%
References docs: 94%

Downloads

5.4K

CRAN downloads in the past year

Rank #6,110 · ~15/day · ~452/mo

Releases R versions

Daily download trend is not available in this view yet.

36730 days

1.6K90 days

5.4K1 year

Compare downloads with other packages →

Also on109 r2u18 autocran

Dependencies

Declared dependencies

3 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (4)

methodsdata.tree jsonlite Trading

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

xVA

Code & Tests

People & History

People (1)

Maintainer (1)

Tasos Grivas

Author, Maintainer

Authors (1)

Tasos Grivas

Author, Maintainer

Package Timeline

11 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
3.4Latest
2026-01-19 · current release · diff ↗
3.3
2025-05-13 · diff ↗
unarchivedReturned to CRAN
2025-05-13
R
R 4.5.0 released · 2025-04-11
archivedRemoved from CRAN
2024-10-20
email to the maintainer is undeliverable
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
3.2
2022-02-28 · diff ↗
3.1
2021-07-05 · diff ↗
R
R 4.1.0 released · 2021-05-18
3.0
2020-08-24 · diff ↗
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
2.3
2019-01-13 · diff ↗

Show 9 earlier events

R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
2.1
2016-11-28 · diff ↗
2.0
2016-11-22 · diff ↗
R
R 3.3.0 released · 2016-05-03
1.5
2016-03-04 · diff ↗
1.1
2015-12-28 · diff ↗
1.0
2015-10-11
R
R 3.2.0 released · 2015-04-16

Package metadata

First published: 2015-10-11
Total releases: 11 / 11 yrs
License: GPL-3 OSI
Download size: 19 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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