Package 'solvency2'

Description

Aggregate already determined module charges using an explicit regulatory matrix.

Usage

aggregate_risk(components, matrix_id, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("default-baseline-matrix-3-4")
result <- do.call(aggregate_risk,
  c(case$kwargs, list(context = context)))
result$value

Description

Catalogue of Golden Source APIs

Usage

api_catalogue()

Value

Named list of functions, domains, source signatures and contracts. Source signatures use Python notation; the R help pages give R signatures.

Examples

names(api_catalogue())

Description

Route3 excludes already assigned176a(1)-CQS2 instruments, not every instrument that might hypothetically qualify for2. Choice and substantive assessments are explicit external inputs. Existing numeric screens remain authoritative for their limited arithmetic and profile-specific analyst overrides.

Usage

assigned_credit_eligibility_screen(
  issuer_financials,
  yield_inputs,
  conditions,
  target_cqs,
  qualification_reference,
  context,
  assessment = NULL,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("assigned-credit-eligibility-baseline-financial-fails")
result <- do.call(assigned_credit_eligibility_screen,
  c(case$kwargs, list(context = context)))
result$value

Description

Rows are oldest to newest, consecutive completed financial years. All supplied rows are validated; only the latest prescribed windows are used. EUR inputs remain EUR even if Context.currency differs. Definitions, chronology, latest-value alignment and currency-revenue scope are external. A pass does not satisfy other Article176a conditions or assign a CQS.

Usage

assigned_credit_issuer_financial_screen(
  financial_years,
  latest_financials,
  eligible_currency_revenue_share,
  years_without_credit_event,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("assigned-credit-baseline-one-small-year")
result <- do.call(assigned_credit_issuer_financial_screen,
  c(case$kwargs, list(context = context)))
result$value

Description

Index keys are 2/4 or 3/4, not sorted by observed yield. All rates are absolute decimal rates, allowing negative yields. Complete comparable own issues, issue-date indices, maturity/currency and any adjustments under paragraphs8/9 must be supplied and qualified externally.

Usage

assigned_credit_yield_screen(
  yield_observations,
  index_yields,
  current_issue_id,
  target_cqs,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("assigned-credit-baseline-yield-not-capped-at-one")
result <- do.call(assigned_credit_yield_screen,
  c(case$kwargs, list(context = context)))
result$value

Description

Five-module aggregation plus the charge on recognised intangible assets.

Usage

basic_scr(components, intangible_charge, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("bscr-2027-five-modules")
result <- do.call(basic_scr,
  c(case$kwargs, list(context = context)))
result$value

Description

Inadequate internal processes cannot justify this exception. Neither an invented materiality percentage nor a preferred actuarial model is supplied.

Usage

best_estimate_approximation_conditions(
  conditions,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("be-approx-baseline-combination-31")
result <- do.call(best_estimate_approximation_conditions,
  c(case$kwargs, list(context = context)))
result$value

Description

No projection model, curve interpolation or compounding convention is invented here. Discount factors must match the payment dates and currency. Inflows include premiums, not separately valued reinsurance recoverables.

Usage

best_estimate_cashflows(
  cashflows,
  runoff_complete,
  cashflow_reference,
  curve_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("be-at-valuation-date")
result <- do.call(best_estimate_cashflows,
  c(case$kwargs, list(context = context)))
result$value

Description

Every row identifies a disjoint obligation or contract part. Its evidence qualifies legal enforceability, unilateral rights, full-risk reflection, profile-specific life rules, discernibility and any unbundling. Accepted reinsurance is assessed independently of underlying contract boundaries. These substantive qualifications remain external, not certified here.

Usage

best_estimate_contract_cashflows(
  obligations,
  runoff_complete,
  cashflow_reference,
  curve_reference,
  context,
  ...
)

Arguments

Details

Article18(5)(c) is cross-checked against the same-version English text; the incomplete German source is preserved. Paid premiums, discernible cover/guarantee or enforceable future premiums disapply this exception. Unbundled parts are independently qualified, not inferred from cash flows.

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("contract-exception-baseline-enforceable")
result <- do.call(best_estimate_contract_cashflows,
  c(case$kwargs, list(context = context)))
result$value

Description

Bind a local discount curve to externally projected cashflows

Usage

best_estimate_with_curve(
  cashflows,
  curve,
  runoff_complete,
  cashflow_reference,
  context
)

Arguments

Value

A Result, including the user curve's metadata and content hash.

Examples

ctx <- Context("2025-01-17", "2026-09-23", "EUR", "EU-S2-DOCUMENTS-2024-2025-v0.1")
curve <- DiscountCurve("example", ctx$as_of, "EUR", "custom",
  "synthetic example", list(list("2026-01-17", 0.97)))
best_estimate_with_curve(list("2026-01-17" = list(expected_inflows = 0,
  expected_outflows = 100)), curve, TRUE, "synthetic cashflows", ctx)$value

Description

Assigned CQS eligibility and exclusions are external. The published CQS4 jump above20 years is retained, not interpolated away. The 2027 scope explicitly excludes defaulted and forborne loans; callers must qualify that scope before supplying a position to this factor API.

Usage

bond_spread_stress(
  modified_duration,
  category,
  classification_reference,
  credit_quality_step = NULL,
  context,
  assigned_eligibility = NULL,
  coinvestment = NULL,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: ratio.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("simplified-market-baseline-captive-quality")
result <- do.call(bond_spread_stress,
  c(case$kwargs, list(context = context)))
result$value

Description

Structured calculation failure

Usage

CalculationError(code, field, message)

Arguments

Value

An R condition inheriting from CalculationError, s2_error, error and condition. Constructing it does not signal it; use stop() to signal.

Examples

error <- CalculationError("INVALID_INPUT", "amount", "finite amount required")
error$code

Description

SCR inputs exclude prior/concurrent add-ons. Modified valuations and any permitted offsetting under283(7) are externally qualified. Article279's risk-profile significance thresholds are separate from imposing an add-on. No quantitative governance/additional2027 Article37(1)e formula is invented.

Usage

capital_add_on_amount(
  base_scr,
  modified_scr,
  method,
  qualification_reference,
  context,
  base_eligible_own_funds = NULL,
  modified_eligible_own_funds = NULL,
  rebuttal_established = NULL,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("capital-addon-baseline-risk-zero-base")
result <- do.call(capital_add_on_amount,
  c(case$kwargs, list(context = context)))
result$value

Description

Future MCR plans also respond to prospective breach; historical MCR and SCR plans here respond to actual breach. No grace period for notification, calendar deadline, automatic extension, filing or approval is produced. Optional Article136 evidence adds its independent notification trigger; absence is not evidence that financial deterioration has been ruled out. Combined-group minimum breaches use233a(6) only in the2027 profile; SCR own funds never substitute for minimum-eligible basic own funds.

Usage

capital_breach_requirements(
  capital_requirement,
  actual_breach,
  breach_risk_within_horizon,
  qualification_reference,
  deterioration = NULL,
  consolidated_own_funds = NULL,
  consolidated_scr = NULL,
  transition_measures = NULL,
  transition_plan_active = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("capital-breach-baseline-scr-11")
result <- do.call(capital_breach_requirements,
  c(case$kwargs, list(context = context)))
result$value

Description

Inventory the five common plan contents; do not project or approve them.

Usage

capital_recovery_plan_evidence_check(
  evidence,
  plan_kind,
  assessment_reference,
  scope_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("capital-breach-baseline-scr_recovery-empty")
result <- do.call(capital_recovery_plan_evidence_check,
  c(case$kwargs, list(context = context)))
result$value

Description

Relative stresses, rate/duration consistency and eligibility are externally qualified. Signed inputs are preserved: there is no hidden down-direction sign flip, floor or stress-curve generation (including blocked 2027 curves). All five asset bands and all 36 Annex I LoBs must be supplied explicitly.

Usage

captive_interest_currency(
  assets,
  technical_provisions,
  direction,
  eligibility_reference,
  valuation_reference,
  stress_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("captive-interest-baseline-zero")
result <- do.call(captive_interest_currency,
  c(case$kwargs, list(context = context)))
result$value

Description

Look up an explicitly qualified lettered band; do not invent boundary rules.

Usage

captive_interest_duration(band, qualification_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: years.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("captive-interest-baseline-duration-a")
result <- do.call(captive_interest_duration,
  c(case$kwargs, list(context = context)))
result$value

Description

Weights are separate profile parameters, not ordinary nonlife correlations. A full set prevents omitted exposures from silently becoming zero.

Usage

captive_nonlife_aggregation(
  segment_charges,
  eligibility_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("captive-baseline-aggregate-zero")
result <- do.call(captive_nonlife_aggregation,
  c(case$kwargs, list(context = context)))
result$value

Description

Normalising before squaring avoids overflow for representable charges; neither reinsurance adjustments nor geographic diversification are repeated.

Usage

captive_nonlife_segment(
  premium_volume,
  reserve_volume,
  eligibility_reference,
  volume_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("captive-baseline-zero")
result <- do.call(captive_nonlife_segment,
  c(case$kwargs, list(context = context)))
result$value

Description

Absent insurance/reinsurance business must be explicitly qualified by the caller; missing evidence never means that a condition is met.

Usage

captive_simplification_conditions(
  conditions,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("captive-baseline-eligible")
result <- do.call(captive_simplification_conditions,
  c(case$kwargs, list(context = context)))
result$value

Description

Recoveries conditional on unrelated claims must have been excluded externally. For vessel components apply separately; for other perils use the qualified combined object/group sum. The returned amount is not a BOF loss or SCR.

Usage

catastrophe_effective_sum(
  gross_sum,
  recoverable,
  use_gross,
  peril,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("concentration-2027-fire-gross")
result <- do.call(catastrophe_effective_sum,
  c(case$kwargs, list(context = context)))
result$value

Description

The named region fixes the common regional scope. Source-blocked weights remain blocked through the ordinary selector. A group amount cannot be repeated into every original matrix zone: downstream group treatment must be qualified separately. Future90b(6) requires120(1a) evidence for wind/soil.

Usage

catastrophe_group_weighted_sum(
  peril,
  region,
  zone_ordinals,
  insured_sum,
  qualification_reference,
  exposure_basis_reference = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2026-10-05",
  known_at = "2026-10-06",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("simpl-close-baseline-group-single")
result <- do.call(catastrophe_group_weighted_sum,
  c(case$kwargs, list(context = context)))
result$value

Description

Aggregate externally determined regional catastrophe charges plus other-region charge.

Usage

catastrophe_region_aggregation(
  peril,
  region_charges,
  other_charge,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-cat-region-subsidence-zero")
result <- do.call(catastrophe_region_aggregation,
  c(case$kwargs, list(context = context)))
result$value

Description

Future subsidence uses Annex VIIIA Q. Unqualified future geographic links stay explicitly absent instead of inheriting historical labels.

Usage

catastrophe_weighted_sum(
  peril,
  region,
  zone_ordinal,
  insured_sum,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-cat-weight-zero-si")
result <- do.call(catastrophe_weighted_sum,
  c(case$kwargs, list(context = context)))
result$value

Description

sqrt(WSI' C WSI) for one Annex XXII–XXVI peril/region; WSI supplied externally.

Usage

catastrophe_zone_aggregation(peril, region, weighted_sums, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-cat-zone-earthquake-GU-one")
result <- do.call(catastrophe_zone_aggregation,
  c(case$kwargs, list(context = context)))
result$value

Description

Callers must first apply the region's documented postcode/province rule. This function never guesses a prefix from a full address or repairs source conflicts; the latter produce REVIEW_REQUIRED for the affected code only.

Usage

catastrophe_zone_ordinal(region, geographic_code, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: zone_ordinal.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-cat-geography-BE-1")
result <- do.call(catastrophe_zone_ordinal,
  c(case$kwargs, list(context = context)))
result$value

Description

Model approvals, contract requirements, CQS/PD mapping, consolidated issuer scope, fiscal-year selection and EUR conversion remain external. There is no averaging of retention across securities and no internal credit model.

Usage

coinvestment_numeric_screen(
  revenue_currency_share,
  financial_years,
  retentions,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("coinvestment-baseline-employee-route")
result <- do.call(coinvestment_numeric_screen,
  c(case$kwargs, list(context = context)))
result$value

Description

Ei excluding zero-gi counterparties; does not alter Assets or quality weights.

Usage

concentration_adjusted_exposure(exposures, grouping_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-adjusted-zero")
result <- do.call(concentration_adjusted_exposure,
  c(case$kwargs, list(context = context)))
result$value

Description

Immediate asset-value loss, explicitly NOT the resulting BOF capital charge.

Usage

concentration_asset_loss(excess, risk_factor, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-core-5")
result <- do.call(concentration_asset_loss,
  c(case$kwargs, list(context = context)))
result$value

Description

Exclusions are not inferred from names. Intragroup category itself asserts group membership externally; a failed exclusion condition retains the asset.

Usage

concentration_assets(assets, classification_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-assets-all-excluded")
result <- do.call(concentration_assets,
  c(case$kwargs, list(context = context)))
result$value

Description

Here the quality itself is interpolated, unlike Article180 stress-factor interpolation. MCR/SFCR routing in Article182(6-8) concerns unrated insurers.

Usage

concentration_credit_quality(
  category,
  qualification_reference,
  credit_quality_step = NULL,
  solvency_ratio = NULL,
  mcr_compliant = NULL,
  sfcr_published = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: credit_quality_step.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-quality-residual")
result <- do.call(concentration_credit_quality,
  c(case$kwargs, list(context = context)))
result$value

Description

Threshold excess on already scoped Assets and zero-factor-adjusted exposure.

Usage

concentration_excess(exposure, assets, threshold, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-core-3")
result <- do.call(concentration_excess,
  c(case$kwargs, list(context = context)))
result$value

Description

Sum externally grouped counterparty/single-name exposures, not all Assets.

Usage

concentration_exposure_sum(exposures, grouping_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-core-13")
result <- do.call(concentration_exposure_sum,
  c(case$kwargs, list(context = context)))
result$value

Description

gi selection, not grouping or CT selection; regional CQS2 reference affects gi only.

Usage

concentration_factor(
  category,
  qualification_reference,
  credit_quality_step = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: ratio.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration_factor-property-none")
result <- do.call(concentration_factor,
  c(case$kwargs, list(context = context)))
result$value

Description

Euclidean norm of already valued single-name BOF charges; not asset losses.

Usage

concentration_risk(single_name_charges, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-core-7")
result <- do.call(concentration_risk,
  c(case$kwargs, list(context = context)))
result$value

Description

Exact arithmetic on validated binary inputs protects integer boundaries and avoids overflow in weighted products. Input qualities may be fractional.

Usage

concentration_single_name_quality(exposures, grouping_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: credit_quality_step.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration-core-9")
result <- do.call(concentration_single_name_quality,
  c(case$kwargs, list(context = context)))
result$value

Description

CT on externally established single-name quality or qualified special exposure.

Usage

concentration_threshold(
  category,
  qualification_reference,
  credit_quality_step = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: ratio.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-concentration_threshold-property-none")
result <- do.call(concentration_threshold,
  c(case$kwargs, list(context = context)))
result$value

Description

Select a dated rule profile and optional numeric analyst overrides. No current date, currency, rule profile or external approval is inferred.

Usage

Context(
  as_of,
  known_at,
  currency,
  profile_id,
  mode = "REFERENCE_ONLY",
  overrides = list()
)

Arguments

Value

An immutable-by-convention S3 Context list. Functions validate it before calculation; modifying a copy does not affect other contexts.

See Also

parameter(), rule_profiles()

Examples

context <- Context("2025-01-17", "2026-09-23", "EUR",
                   "EU-S2-DOCUMENTS-2024-2025-v0.1")
intangible_risk(100, context = context)$value

Description

'After' concerns coverage, not payment dates. Qualification of unilateral rights, repricing and legal enforceability is supplied externally.

Usage

contract_boundary_exclusion(
  coverage_after_qualifying_right,
  premium_payment_enforceable,
  assessment_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-boundary-exclusion-true-true")
result <- do.call(contract_boundary_exclusion,
  c(case$kwargs, list(context = context)))
result$value

Description

Has the first recognition time arrived? This does not reverse later derecognition.

Usage

contract_recognition_due(
  contract_party_date,
  coverage_start_date,
  evidence_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-recognition-party-first")
result <- do.call(contract_recognition_due,
  c(case$kwargs, list(context = context)))
result$value

Description

Restrictions must be externally qualified effective restrictions, including the Article18 economic-effect assessment. Relevant third parties exclude supervisors/governance bodies. Mere reputation or competition is not a veto. Full risk reflection and the profile-specific life repricing clause remain separate for an amendment right, even when this screen returns1.

Usage

contract_unilateral_right(
  right_type,
  facts,
  assessment_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("unilateral-baseline-amend-31")
result <- do.call(contract_unilateral_right,
  c(case$kwargs, list(context = context)))
result$value

Description

Values must refer to the correct counterparty, currency and unit. Their recency and regulatory eligibility are not established by this division. Signed funds are preserved; neither MCR compliance nor a rating is inferred.

Usage

counterparty_solvency_ratio(
  eligible_own_funds,
  scr,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: ratio.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("counterparty-ratio-baseline-zero")
result <- do.call(counterparty_solvency_ratio,
  c(case$kwargs, list(context = context)))
result$value

Description

Declared regulatory coverage and limitations

Usage

coverage()

Value

Named list inherited from the Golden Source. This describes regulatory scope, not certification or approval of a company's inputs or capital result.

Examples

names(coverage())

Description

Each recovery is externally valued against this exposure's default claim, not against its full insured sum. Ambiguous cutoff ties with differing gross amounts require explicit selection, still constrained to largest net losses.

Usage

credit_cat_default_loss(
  exposures,
  qualification_reference,
  selected_exposure_ids = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("credit-cat-empty")
result <- do.call(credit_cat_default_loss,
  c(case$kwargs, list(context = context)))
result$value

Description

Sudden gross claim from next12month earned LOB9/21 premiums, not capital.

Usage

credit_cat_recession_loss(gross_premium, qualification_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("liability-credit-2027-credit-recession")
result <- do.call(credit_cat_recession_loss,
  c(case$kwargs, list(context = context)))
result$value

Description

Widening/tightening BOF valuations and Article179(3) hedge exclusions must be qualified externally. This is neither derivative pricing nor hedge approval. Article180(9) can instead use an explicitly qualified public debt underlying; no partial guarantee, other underlying or missing scenarios implies zero.

Usage

credit_derivative_scenario_charge(
  gross_losses,
  net_losses,
  valuation_reference,
  tie_break = NULL,
  public_underlying = NULL,
  hedge_exemption = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("credit-derivative-select-baseline-equal")
result <- do.call(credit_derivative_scenario_charge,
  c(case$kwargs, list(context = context)))
result$value

Description

Absolute widening versus relative tightening; hedge exclusions require separate assessment.

Usage

credit_spread_stress(
  spread,
  direction,
  category,
  qualification_reference,
  credit_quality_step = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: annual_rate.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-credit-spread-tighten-0")
result <- do.call(credit_spread_stress,
  c(case$kwargs, list(context = context)))
result$value

Description

Inputs are externally valued BOF deltas for each holding's Art68-deducted and non-deducted parts, not market values or deduction amounts. Apply the positive-part rule per holding before summation; do not net excluded losses.

Usage

currency_participation_bof_change(
  participations,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("currency-participation-baseline-empty")
result <- do.call(currency_participation_bof_change,
  c(case$kwargs, list(context = context)))
result$value

Description

All 15 unordered pairs are explicit original values, not cross-rate-derived estimates. External evidence must establish date-specific applicability.

Usage

currency_peg_factor(foreign_currency, qualification_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: ratio.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("currency-peg-factor-EUR-DKK")
result <- do.call(currency_peg_factor,
  c(case$kwargs, list(context = context)))
result$value

Description

Apply a qualified original peg factor to local currency per one foreign unit.

Usage

currency_peg_rate_stress(
  exchange_rate,
  foreign_currency,
  direction,
  qualification_reference,
  valuation_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: exchange_rate.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("currency-peg-rate-EUR-DKK-up")
result <- do.call(currency_peg_rate_stress,
  c(case$kwargs, list(context = context)))
result$value

Description

Stress local currency per one foreign unit, not its reciprocal or a BOF amount.

Usage

currency_rate_stress(
  exchange_rate,
  direction,
  valuation_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: exchange_rate.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("currency-rate-1-up")
result <- do.call(currency_rate_stress,
  c(case$kwargs, list(context = context)))
result$value

Description

Sum already net-scenario-selected gross charges, all valued in Context.currency.

Usage

currency_risk(currency_charges, classification_reference, context, ...)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("currency-sum-zero")
result <- do.call(currency_risk,
  c(case$kwargs, list(context = context)))
result$value

Description

Each mapping contains exactly up/down in the context's local currency. This does not value exposures or approve their currency classification.

Usage

currency_scenario_charge(
  gross_losses,
  net_losses,
  valuation_reference,
  tie_break = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("currency-select-baseline-equal")
result <- do.call(currency_scenario_charge,
  c(case$kwargs, list(context = context)))
result$value

Description

The input is the unhalved applicable AMCR, not the branch MCR. A German deposit waiver does not waive the deposit at the chosen supervisory state. Asset location, admissibility and any higher actual SCR/MCR stay separate.

Usage

de_branch_minimum_amount(
  unadjusted_absolute_floor,
  requirement,
  reinsurance_branch,
  domestic_deposit_relief,
  relief_reference = NULL,
  source_version,
  applicability_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: EUR.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2026-10-05",
  known_at = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("de-close-baseline-reinsurer")
result <- do.call(de_branch_minimum_amount,
  c(case$kwargs, list(context = context)))
result$value

Description

Gross direct-insurance figures precede reinsurance deductions. Eligible current pool value must already reflect the separate Article126 rules. Extra supervisory requirements under127(2) are not inferred here.

Usage

de_cover_assets_minimum(
  components,
  source_version,
  applicability_reference,
  current_cover_assets = NULL,
  foreign_security_exception = 0,
  foreign_security_reference = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: EUR.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2026-10-05",
  known_at = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("cover-close-baseline-minimum")
result <- do.call(de_cover_assets_minimum,
  c(case$kwargs, list(context = context)))
result$value

Description

A doubled market-to-book threshold permits review of an increase; it does not prescribe the increase. Encumbered property always needs an external supervisory value. Neither value may feed a Solvency-II market valuation merely because this separate cover-pool rule accepts it.

Usage

de_cover_property_value(
  book_value,
  market_value,
  encumbered,
  supervisory_value = NULL,
  supervisory_reference = NULL,
  expert_valuation_reference = NULL,
  source_version,
  applicability_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: EUR.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2026-10-05",
  known_at = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("cover-close-baseline-property-low")
result <- do.call(de_cover_property_value,
  c(case$kwargs, list(context = context)))
result$value

Description

Inflows and cash are disjoint sources; no netting or double counting. Projections, liquidation assumptions and scenarios are insurer inputs. The circular specifies no universal minimum ratio or fixed time bands.

Usage

de_liquidity_coverage(
  gross_inflows,
  gross_outflows,
  realisable_cash,
  total_investments,
  source_version,
  applicability_reference,
  horizon_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: ratio.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2026-10-05",
  known_at = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("de-close-baseline-liquidity-zero-assets")
result <- do.call(de_liquidity_coverage,
  c(case$kwargs, list(context = context)))
result$value

Description

LGD of an externally qualified CCP default-fund contribution, not CCP eligibility.

Usage

default_ccp_fund_lgd_2027(
  contribution,
  prefunded,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("default-2027-ccp-fund-true")
result <- do.call(default_ccp_fund_lgd_2027,
  c(case$kwargs, list(context = context)))
result$value

Description

A failed declaration screen never implies zero capital or a fallback LGD branch. The client joint-default exception relaxes only the named joint failure case. Historical legal opinions must not substitute for the changed 2027 legal-review requirement. Direct own-account clearing is future-only.

Usage

default_clearing_conditions(
  route,
  conditions,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: indicator.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("clearing-conditions-future-member_own_account-all")
result <- do.call(default_clearing_conditions,
  c(case$kwargs, list(context = context)))
result$value

Description

Select a coefficient, not an insolvency-law interpretation or collateral valuation.

Usage

default_collateral_factor(
  factor_type,
  collateral_ignored_in_estate_share,
  legal_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: ratio.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-lgd-factor-F-true")
result <- do.call(default_collateral_factor,
  c(case$kwargs, list(context = context)))
result$value

Description

External valuations must assess FX against exposure/loan currency. Do not silently reverse this source's subtraction or apply the Article196 floor.

Usage

default_collateral_market_adjustment(
  scr_without,
  scr_with,
  valuation_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-collateral-adjustment-negative")
result <- do.call(default_collateral_market_adjustment,
  c(case$kwargs, list(context = context)))
result$value

Description

Classification and guideline-compliant recovery valuation are external. This does not extend the source-defined scope to arbitrary unsecured loans.

Usage

default_defaulted_loan_lgd_2027(
  loan,
  recoverables,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("default-2027-loan-0-0")
result <- do.call(default_defaulted_loan_lgd_2027,
  c(case$kwargs, list(context = context)))
result$value

Description

For a qualified netting set, RM and collateral must be assessed at set level; summing stand-alone risk mitigation is not justified by this function.

Usage

default_derivative_lgd(
  derivative_value,
  risk_mitigation,
  collateral_value,
  variant,
  collateral_basis,
  collateral_ignored_in_estate_share,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-lgd-derivative-3-true")
result <- do.call(default_derivative_lgd,
  c(case$kwargs, list(context = context)))
result$value

Description

All values must already be in context currency and Article75-compatible. Netting eligibility and completeness of the set remain externally assessed. Fraction over decimal float representations prevents intermediate overflow and preserves signed cancellation. Only the final value becomes float.

Usage

default_derivative_netting_value(
  positions,
  netting_qualified,
  liabilities_settled_before_clearing,
  qualification_reference,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: context currency.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("derivative-netting-baseline-single")
result <- do.call(default_derivative_netting_value,
  c(case$kwargs, list(context = context)))
result$value

Description

The category must already describe the precise qualified contractual risk, including any spread/mortgage/CCP/guarantee conditions. An excluded risk may attract capital elsewhere; zero is a routing code, not a capital value. Only cedant deposits and called-unpaid commitments use the declared count and optional legal election. Article190 grouping and Article189(5) provider substitution, and the all-relevant-exposures scope of the election, remain external prerequisites; no count is inferred from arbitrary asset IDs.

Usage

default_exposure_type(
  category,
  qualification_reference,
  single_name_count = NULL,
  elect_type1 = NULL,
  context,
  ...
)

Arguments

Details

Monetary inputs use context currency, not implicit thousands. Ratios and rates are decimal fractions unless a named input says otherwise. Missing, NA, NaN and infinite numeric inputs are rejected; vectors are not silently recycled. Scope and applicability guards follow the Golden Source.

Value

A Result list with value, unit, formula_id, sources, context, reproducible R input_hash/profile_hash, details and status. Value unit: exposure_type.

See Also

Context(), NumericOverride(), reference_cases()

Examples

context <- Context(
  as_of = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("default-type-future-securities_financing")
result <- do.call(default_exposure_type,
  c(case$kwargs, list(context = context)))
result$value