Package {solvency2}

Offline Solvency II Calculations and Regulatory Parameters

Description

Native R components for insurance solvency analysis, with explicit rule profiles, regulatory parameters, synthetic reference data and auditable results. Individual formulas can be used independently of the graph engine.

Getting started

Create a Context() to select valuation date, information date, currency and rule profile. Call a granular function such as intangible_risk() and inspect its value, unit, sources, details and status. Monetary amounts use the context currency, without an implicit thousands multiplier. Rates and ratios are decimal fractions unless the individual help page states otherwise.

Finding functions and data

api_catalogue() lists the reference API and coverage() describes the supported scope. rule_profiles() exposes dated rule sets. parameter() reads scalars, tables and correlation or catastrophe resources. reference_cases(), reference_case(), reference_portfolios() and reference_dataset() provide synthetic inputs and fixed expected outcomes. vignette("getting-started", package = "solvency2") introduces the workflow; documentation() provides additional installed, offline documentation.

Main interfaces

Valuation and capital calculations include best_estimate_cashflows(), aggregate_risk(), basic_scr(), scr_standard_formula() and mcr_combined(). Use Engine() or calculate() for explicitly linked calculations. DiscountCurve() and the local JSON/CSV adapters accept user-supplied curves. NumericOverride() records context-local sensitivities without changing installed regulatory resources. reporting_catalog(), reporting_data(), reporting_bound_rule_check() and reporting_instance() expose archived definitions, component checks and draft XBRL generation.

Scope and responsibility

Runtime is offline. The package does not obtain market observations, develop insurer-specific internal models, infer approvals or submit filings. Synthetic examples are not production market data. Profile validity and documented qualification limits remain explicit; a successful calculation or software test is not supervisory approval. Invalid or unsupported inputs produce structured CalculationError() conditions. See the individual function's assumptions and documentation("LIMITATIONS") before use.

Author(s)

Maintainer: Dimitrios Geromichalos riskdatascience@web.de

Authors:

• RiskDataScience GmbH [copyright holder]

References

European Parliament and Council (2009), Directive 2009/138/EC, https://eur-lex.europa.eu/eli/dir/2009/138/oj. European Commission (2014), Delegated Regulation (EU) 2015/35, https://eur-lex.europa.eu/eli/reg_del/2015/35/oj.

See Also

Context(), api_catalogue(), documentation()

Examples

ctx <- Context("2025-01-17", "2026-09-23", "EUR",
  "EU-S2-DOCUMENTS-2024-2025-v0.1")
charge <- intangible_risk(100, context = ctx)
charge$value
charge$unit
parameter("scalars/intangible", context = ctx)$value

Structured calculation failure

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

Explicit calculation context

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

Explicit local discount curve

Description

Explicit local discount curve

Usage

DiscountCurve(curve_id, as_of, currency, curve_kind, source_reference, points)

discount_curve_factor(curve, payment_date)

discount_curve_to_dict(curve)

discount_curve_from_dict(payload)

Arguments

Details

Points are sorted by date and duplicate dates rejected. No interpolation, day-count convention, currency conversion or approval is inferred. A copy can be edited, but adapters revalidate it before use.

Value

A DiscountCurve list. Use discount_curve_factor() for exact lookup and discount_curve_to_dict() for the version-1 JSON-compatible schema.

Examples

curve <- DiscountCurve("example", "2025-01-17", "EUR", "custom",
  "synthetic example", list(list("2026-01-17", 0.97)))
discount_curve_factor(curve, "2026-01-17")

Execute a dependency graph of granular calculations

Description

Execute a dependency graph of granular calculations

Usage

Engine()

calculate(nodes, context)

Arguments

Details

Cycles and missing dependencies raise structured conditions. Cached numeric results do not suppress synthetic-data provenance. Outputs retain PARTIAL status: combining reference components does not approve an SCR.

Value

Engine() returns an object with a run(nodes, context) function and an instance-local cache. calculate() returns a list containing results, execution order, cache hits, coverage and profile scope.

Examples

ctx <- Context("2025-01-17", "2026-09-23", "EUR",
               "EU-S2-DOCUMENTS-2024-2025-v0.1")
nodes <- list(charge = list("function" = "intangible_risk",
                           inputs = list(value = 100)))
# Use a source reference's exact input names:
case <- Filter(function(x) x[["function"]] == "intangible_risk" &&
                 is.null(x$expected_error), reference_cases()$cases)[[1]]
nodes$charge$inputs <- case$kwargs
calculate(nodes, ctx)$results$charge$value

A traceable numeric analyst override

Description

A traceable numeric analyst override

Usage

NumericOverride(resource, path, value, reason)

Arguments

Details

Symmetric matrix entries are mirrored; supply only one side. Overrides never remove applicability or unsupported-source guards.

Value

A NumericOverride list, to include in Context()'s overrides.

See Also

Context(), parameter()

Examples

change <- NumericOverride("profile.json",
  list("scalars", "intangible", "value"), 0.7, "Synthetic sensitivity")
context <- Context("2025-01-17", "2026-09-23", "EUR",
  "EU-S2-DOCUMENTS-2024-2025-v0.1", overrides = list(change))
intangible_risk(100, context = context)$value

Aggregate already determined module charges using an explicit regulatory matrix.

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

Catalogue of Golden Source APIs

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())

Return eligibility for the CHOSEN route, never an internally modelled CQS.

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

Screen seven numeric issuer criteria on qualified EUR financial values.

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

Check every qualified issue against both prescribed yield ceilings.

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

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

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

Check declared data-deficiency exception, not create an approximation.

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

Discount already probability-weighted, gross-of-reinsurance cashflows.

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

Select entire qualified obligations, never truncate by a payment date.

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

Bind a local discount curve to externally projected cashflows

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

Use modified duration, floored at1; floats need externally assessed equivalent fixed duration.

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

Prescribed add-on arithmetic, not a supervisory imposition or risk model.

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

Select notification/plan duties using externally established breach facts.

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

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

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

Evaluate one currency's literal asset-minus-BE formula for a declared scenario.

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

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

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

Aggregate all twelve DR90 segment charges, with explicit inactive zeros.

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

Calculate a segment charge from already qualified Article116 volumes.

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

Check externally assessed DR89 facts, not substantive eligibility itself.

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

Qualified recovery subtraction or explicit gross fallback for inadequate risk capture.

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

Q*max(group zone weights)*qualified group SI; never invent a group matrix.

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

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

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

QWSI for an externally qualified zone ordinal, not an address-to-zone mapping.

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

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

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

Resolve an explicitly supplied published code to its zone ordinal.

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

Check strict issuer size/revenue and inclusive retention for EACH security.

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

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

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

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

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

Select Assets from externally classified holdings; intragroup needs all five flags.

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

Position quality before single-name weighting/ceiling; eligibility is external.

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

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

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

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

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

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

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

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

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

Ceil value-weighted quality only after aggregation, without epsilon rounding.

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

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

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

Only the Article 18(3) negative screen; zero never proves contract membership.

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

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

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

Guideline2 unilateral-right screen, not full contract-boundary membership.

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

Divide externally qualified latest eligible funds by latest positive SCR.

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

Declared regulatory coverage and limitations

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())

Select largest NET default exposures and report their gross scenario claims.

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

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

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

Select gross credit-derivative charge by maximal net-FDB scenario loss.

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

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

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

Signed FX BOF change: deducted holdings contribute gains but not losses.

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

Historical document-profile pair factor, not confirmation of a current currency peg.

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

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

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

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

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

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

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

One currency: select gross charge by the largest externally valued net-FDB loss.

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

Calculate a qualified German branch asset minimum or domestic deposit.

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

German book-value cover pool minimum, distinct from Solvency-II TP.

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

Book/market minimum, or explicitly supervisor-determined property 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

Coverage, cash-flow gap and liquidity level for one qualified horizon.

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

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

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

Check one externally selected clearing route, not legal eligibility.

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

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

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

Literal document-profile order; signed adjustment, not collateral eligibility.

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

Article192(4a) floor; Loan is the source-defined qualified mortgage 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

Four externally qualified variants, with explicit market/risk-adjusted collateral.

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

Combine market values, never stand-alone RM, collateral stress or LGD.

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

Return1/2 for default types or0 for exclusion FROM THIS MODULE ONLY.

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

Use a qualified stress guarantee, not an arbitrary guarantee nominal amount.

Description

The future Article192(4) adds a floor on the non-guaranteed loan value. Historical results retain the published zero floor, not the new 5% floor.

Usage

default_mortgage_lgd(
  loan_value,
  risk_adjusted_mortgage,
  eligible_guarantee,
  qualification_reference,
  context,
  guarantee_conditions = 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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("lgd-mortgage-10")
result <- do.call(default_mortgage_lgd,
  c(case$kwargs, list(context = context)))
result$value

Two externally classified nonnegative valuation conventions; no hidden offsetting.

Description

Two externally classified nonnegative valuation conventions; no hidden offsetting.

Usage

default_other_lgd(
  recognised_value,
  exposure_type,
  classification_reference,
  nominal_value = 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 = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-lgd-other-receivable-0")
result <- do.call(default_other_lgd,
  c(case$kwargs, list(context = context)))
result$value

Externally qualified type B/C pool formula, not pool classification.

Description

B uses already net BEC/BEU; C uses the whole pool's BECE. The recovery threshold is inclusive, unlike Article192(2). DeltaRM is not halved.

Usage

default_pool_lgd(
  best_estimate,
  risk_mitigation_contribution,
  risk_adjusted_collateral,
  variant,
  encumbered_asset_fraction,
  collateral_ignored_in_estate_share,
  qualification_reference,
  undertaking_share = NULL,
  counterparty_share = 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 = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-pool-C-boundary")
result <- do.call(default_pool_lgd,
  c(case$kwargs, list(context = context)))
result$value

Select the pool SR convention, not the counterparty PD table.

Description

Select the pool SR convention, not the counterparty PD table.

Usage

default_pool_member_ratio(
  category,
  classification_reference,
  credit_quality_step = NULL,
  current_solvency_ratio = NULL,
  equivalent = 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-pool-member-rating-0")
result <- do.call(default_pool_member_ratio,
  c(case$kwargs, list(context = context)))
result$value

Harmonic EOF-weighted inner group plus risk-share-weighted outer group.

Description

Membership must include any central intermediary. Zero inner SR requires a separately assessed limiting case; it is not silently replaced by zero.

Usage

default_pool_solvency_ratio(
  in_scope_members,
  out_of_scope_members,
  membership_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-pool-ratio-outside")
result <- do.call(default_pool_solvency_ratio,
  c(case$kwargs, list(context = context)))
result$value

Apply type-A liability rule to an externally qualified Article192 LGD.

Description

Low SR legitimately gives a risk-share factor above1 in this source; there is no invented reduction-only clamp.

Usage

default_pool_type_a_lgd(
  base_lgd,
  joint_liability,
  qualification_reference,
  pool_solvency_ratio = 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 = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-pool-A-proportional")
result <- do.call(default_pool_type_a_lgd,
  c(case$kwargs, list(context = context)))
result$value

Apply an externally qualified Article 199 category; not a rating/classification engine.

Description

Clearing exceptions in (12)/(13) take precedence in the external category decision. A 'rated' call cannot establish that those exceptions are absent.

Usage

default_probability(
  category,
  classification_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: probability.

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("pd-other")
result <- do.call(default_probability,
  c(case$kwargs, list(context = context)))
result$value

Select a qualified provider PD, never the minimum of two probabilities.

Description

Full protection and Articles209–215 compliance are externally assessed. Clearing precedence is explicit. This does not regroup names under189(5), change LGD, or infer sovereign zero-PD eligibility from a provider identity.

Usage

default_protected_probability(
  original_pd,
  substitute_provider,
  protection,
  clearing_category,
  qualification_reference,
  context,
  central_government_guarantee = 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: probability.

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("protected-pd-baseline-original")
result <- do.call(default_protected_probability,
  c(case$kwargs, list(context = context)))
result$value

Choose standard/high-encumbrance formula; input includes corresponding receivables.

Description

This SCR LGD is distinct from the technical-provisions loss in Article42. Netting, collateral eligibility and contract qualifications remain external.

Usage

default_reinsurance_lgd(
  recoverables,
  risk_mitigation,
  risk_adjusted_collateral,
  counterparty_is_insurer,
  collateral_ignored_in_estate_share,
  qualification_reference,
  encumbered_asset_fraction = NULL,
  context,
  method = "standard",
  proportionality_reference = 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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("lgd-ri-full-collateral")
result <- do.call(default_reinsurance_lgd,
  c(case$kwargs, list(context = context)))
result$value

Literal collateral branches, with signed results and explicit legal evidence.

Description

Article197(3) says neither condition is met. Mixed failure is therefore not silently treated as zero. A negative result remains visible; downstream LGD APIs explicitly reject collateral outside their nonnegative contract. Article112 is an explicit alternative on market value, not an additional haircut after a market adjustment. Article88 qualification stays external. Optional Article214(2) assessment checks the deposit institution's CQS; its legal applicability and all other Article214 conditions stay external. Omission preserves the qualified-input API, not a numeric eligibility check.

Usage

default_risk_adjusted_collateral(
  market_value,
  market_adjustment,
  collateral_type,
  conditions,
  qualification_reference,
  context,
  method = "standard",
  proportionality_reference = NULL,
  custodian_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: 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("risk-adjusted-collateral-baseline-title")
result <- do.call(default_risk_adjusted_collateral,
  c(case$kwargs, list(context = context)))
result$value

Subtract adjustment from externally assessed Article198(2) property value.

Description

Monitoring, prior claims and the independent valuation's market-value cap must already be reflected in property_value; no appraisal is invented here.

Usage

default_risk_adjusted_mortgage(
  property_value,
  market_adjustment,
  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 = "2025-01-17",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("risk-adjusted-mortgage-baseline-zero")
result <- do.call(default_risk_adjusted_mortgage,
  c(case$kwargs, list(context = context)))
result$value

Difference for the same relevant risk module; never substitute overall SCR.

Description

Difference for the same relevant risk module; never substitute overall SCR.

Usage

default_risk_mitigation(
  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-lgd-rm-floor")
result <- do.call(default_risk_mitigation,
  c(case$kwargs, list(context = context)))
result$value

Qualified repo/reverse-repo/securities-lending LGD, not a netting engine.

Description

Netted inputs must already represent the same legally qualified set's economic effect; collateral is assessed at set level, not blindly summed.

Usage

default_securities_financing_lgd_2027(
  exposure,
  risk_adjusted_collateral,
  netting_applied,
  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-financing-zero")
result <- do.call(default_securities_financing_lgd_2027,
  c(case$kwargs, list(context = context)))
result$value

Count declared single names and retain every exposure-to-group assignment.

Description

None for group/pool means externally established absence, NOT unknown. Pool separation suppresses the pool edge only, not the corporate-group rule. Optional189(5) substitutions are an explicit election, restricted to this count. Original/effective legal memberships and completeness of the relevant portfolio are external qualifications, never inferred from IDs.

Usage

default_single_name_count(
  exposures,
  pool_treatment,
  grouping_reference,
  context,
  provider_substitutions = 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: single_names.

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-grouping-baseline-same-group")
result <- do.call(default_single_name_count,
  c(case$kwargs, list(context = context)))
result$value

Sum already assessed LGDs; qualified netting sets must not be counted twice.

Description

Sum already assessed LGDs; qualified netting sets must not be counted twice.

Usage

default_single_name_lgd(exposure_lgds, 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-lgd-single-name-zero")
result <- do.call(default_single_name_lgd,
  c(case$kwargs, list(context = context)))
result$value

LGD-weighted PD for one externally grouped single name, not legal grouping.

Description

LGD-weighted PD for one externally grouped single name, not legal grouping.

Usage

default_single_name_pd(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: probability.

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("pd-weighted-zero")
result <- do.call(default_single_name_pd,
  c(case$kwargs, list(context = context)))
result$value

Type-1 variance and charge; PD/LGD supplied per already grouped single name.

Description

Type-1 variance and charge; PD/LGD supplied per already grouped single name.

Usage

default_type1(
  counterparties,
  context,
  method = "standard",
  proportionality_reference = 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 = "2027-01-30",
  known_at = "2026-09-30",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("default-2027-type1-single-0")
result <- do.call(default_type1,
  c(case$kwargs, list(context = context)))
result$value

Value-decrease amount; BOF must still be revalued to determine the capital charge.

Description

Value-decrease amount; BOF must still be revalued to determine the capital charge.

Usage

default_type2_shock(overdue_intermediary_lgd, other_lgd, 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("type2-shock")
result <- do.call(default_type2_shock,
  c(case$kwargs, list(context = context)))
result$value

Three disjoint2027 LGD pools; no implicit zero for defaulted/forborne loans.

Description

Inputs are qualified externally and the residual pool excludes both special pools. The result is the exposure-value shock, not a completed BOF revaluation.

Usage

default_type2_shock_2027(
  overdue_intermediary_lgd,
  defaulted_forborne_lgd,
  other_lgd,
  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-type2-4")
result <- do.call(default_type2_shock_2027,
  c(case$kwargs, list(context = context)))
result$value

Build explicit discount factors from externally supplied spot rates

Description

Build explicit discount factors from externally supplied spot rates

Usage

discount_curve_from_spot_rates(
  points,
  curve_id,
  curve_kind,
  source_reference,
  time_basis_reference,
  context
)

Arguments

Details

No interpolation, extrapolation or calendar convention is inferred.

Value

A DiscountCurve() with raw inputs and convention fingerprinted in provenance.

Examples

ctx <- Context("2025-01-17", "2026-09-23", "EUR", "EU-S2-DOCUMENTS-2024-2025-v0.1")
curve <- discount_curve_from_spot_rates(
  list("2026-01-17" = list(annual_effective_rate = 0.03, time_years = 1)),
  "example", "custom", "synthetic rates", "explicit one year", ctx)
discount_curve_factor(curve, "2026-01-17")

Read bundled documentation without a browser

Description

Read bundled documentation without a browser

Usage

documentation(topic = "README")

Arguments

Value

UTF-8 Markdown text from the installed R package.

Examples

cat(documentation("DATA"))

Shock factor with optional qualified168 route checks, never asset valuation.

Description

Without classification, eligibility remains external. Optional route inputs bind market/fund scope or existing qualification screens to the chosen factor. Strategic/long-term recognition and own-funds deductions remain separate.

Usage

equity_shock(
  category,
  symmetric_adjustment,
  duration_based = NULL,
  context,
  classification = 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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2024-2025-v0.1")
case <- reference_case("equity-shock-type1-1")
result <- do.call(equity_shock,
  c(case$kwargs, list(context = context)))
result$value

Apply an externally qualified169 factor to the prescribed position basis.

Description

A negative investment with losses beyond the invested amount uses its absolute value; other negative non-short investments have a zero stress basis, not a zero balance-sheet value. Short pricing is deliberately not inferred from a signed value or from the absolute-value exception.

Usage

equity_stress_amount_2027(
  equity_value,
  shock,
  short_position,
  losses_can_exceed_investment,
  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 = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("equity-position-zero")
result <- do.call(equity_stress_amount_2027,
  c(case$kwargs, list(context = context)))
result$value

Export local reference resources or an explicit analyst scenario

Description

Export local reference resources or an explicit analyst scenario

Usage

export_resources(destination, context = NULL)

Arguments

Details

This explicitly requested local write does not download anything. Analyst overrides are marked as scenarios, not regulatory approval. Exported JSON formatting and its hashes are R-specific; source hashes remain provenance.

Value

Exported filenames and SHA-256 hashes of their actual JSON bytes.

Examples

# Creates a new temporary directory only when explicitly called:
# The full offline export is intentionally opt-in: it includes all profiles.
if (identical(Sys.getenv("SOLVENCY2_FULL_EXAMPLES"), "true")) {
destination <- tempfile("solvency2-export-")
result <- export_resources(destination)
length(result$files)
# Remove only the directory just created by this example.
unlink(destination, recursive = TRUE)
}

Forward an externally computed value after declared-evidence checks.

Description

AVAILABLE references do not prove their contents, model approval, adequacy or lawful integration. Partial-model results must already follow the externally approved integration; this function applies no correlations. Period metadata is not a calendar-deadline monitor or submission service.

Usage

external_model_checked_value(
  value,
  evidence,
  model_kind,
  output_kind,
  conditions,
  model_reference,
  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: 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("model-standards-close-baseline-full")
result <- do.call(external_model_checked_value,
  c(case$kwargs, list(context = context)))
result$value

Route insurer and externally qualified financial-issuer factors, not legal eligibility.

Description

After first SFCR, MCR breach takes precedence even over an available rating. Before SFCR, compliance and current solvency inputs are not used/accepted.

Usage

financial_issuer_spread_stress(
  modified_duration,
  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: 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-financial-issuer-spread-9")
result <- do.call(financial_issuer_spread_stress,
  c(case$kwargs, list(context = context)))
result$value

Inventory applicable declared controls and expose versioned review periods.

Description

No references are retrieved, substantive evidence reviewed, or actual calendar deadlines monitored. Combination eligibility is conditional on external facts. The optional29d/327d approval changes only the policy-review maximum, not function-combination approval or any other governance interval. Optional archived guidance requires its own explicit applicability reference; omission is NOT_ASSESSED, never a statement that the guidelines do not apply. Optional2027 liquidity_assessment separates solo/group plans, exemptions and supervisory measures; no cashflow projection or supervisory decision is made.

Usage

governance_evidence_check(
  evidence,
  conditions,
  assessment_reference,
  supervisory_policy_interval_years = NULL,
  non_snc_policy_approval_reference = NULL,
  de_ppp_assessment = NULL,
  guidance_assessment = NULL,
  liquidity_assessment = 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 = "2027-01-30",
  known_at = "2026-10-05",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("proportionality-scope-approved-policies-five")
result <- do.call(governance_evidence_check,
  c(case$kwargs, list(context = context)))
result$value

Minimum deferral period for an externally qualified relevant staff member.

Description

No prescribed significant-deferred-share percentage is invented. This is not permission to ignore payment sustainability, vesting or malus/clawback rules.

Usage

governance_remuneration_deferral_years(
  annual_variable,
  annual_total,
  supervisory_exception_denied,
  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("governance-pay-baseline-zero")
result <- do.call(governance_remuneration_deferral_years,
  c(case$kwargs, list(context = context)))
result$value

Compose externally approved disjoint methods, not a consolidation model.

Description

Consolidated inputs already exclude M2/sector holdings and reflect required currency sensitivity. Do not repeat pure-M2 participation-value deductions. M2 insurer subsidiary deficits retain Article221 treatment; sector amounts are already weighted and availability-adjusted under Article228.

Usage

group_combined_component_surplus_2027(
  consolidated_own_funds,
  consolidated_scr,
  minimum,
  method2_related,
  sector_contributions,
  method2_own_funds_adjustment,
  method2_capital_addon,
  approval_reference,
  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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-combined-negative")
result <- do.call(group_combined_component_surplus_2027,
  c(case$kwargs, list(context = context)))
result$value

Positive holding excess for external consolidated currency scenarios.

Description

Amounts use the same qualified currency. This is not a currency charge and no equity shock applies to this holding under the cited combined-method rule.

Usage

group_combined_currency_exposure_2027(
  participation_value,
  entity_scr,
  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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-combined-fx-50-0")
result <- do.call(group_combined_currency_exposure_2027,
  c(case$kwargs, list(context = context)))
result$value

Sum BE already adjusted externally for all intra-group transactions.

Description

Method1 Article335(1)a/c scope and consolidation shares are external. The receiving reinsurer excludes intra-group fulfilment cashflows; the cedant excludes corresponding recoverables. This function does not perform netting.

Usage

group_consolidated_best_estimate(
  parent_best_estimate,
  related,
  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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-consolidated-be-positive")
result <- do.call(group_consolidated_best_estimate,
  c(case$kwargs, list(context = context)))
result$value

Qualified MCR sum plus future local licence-withdrawal requirements.

Description

Future third-country rows are explicit, including an empty mapping. They must not duplicate the EU-MCR entity set; legal scope is assessed externally.

Usage

group_consolidated_minimum(
  parent_mcr,
  related,
  qualification_reference,
  third_country = 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 = "2027-01-30",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-minimum-parent")
result <- do.call(group_consolidated_minimum,
  c(case$kwargs, list(context = context)))
result$value

Proportionate sum of externally qualified risk margins, no added diversification.

Description

Proportionate sum of externally qualified risk margins, no added diversification.

Usage

group_consolidated_risk_margin(
  parent_risk_margin,
  related,
  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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-consolidated-rm-empty")
result <- do.call(group_consolidated_risk_margin,
  c(case$kwargs, list(context = context)))
result$value

Sum qualified Article336 amounts plus externally set group add-on.

Description

Contributions b/c already include proportional shares. Components d/e are externally determined risk amounts, not invented sums of individual SCRs. From 2027, only a-d belong here; separate Article336b additions must be explicit and disjoint from those components. Article228 sector contributions are outside this consolidated amount. Their valuation is not inferred. Apply the Article230 minimum separately. No sector/Look-through valuation or supervisory determination is implemented by this composition function.

Usage

group_consolidated_scr(
  components,
  capital_addon,
  qualification_reference,
  simplified_contributions = 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 = "2027-01-30",
  known_at = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-scr-four")
result <- do.call(group_consolidated_scr,
  c(case$kwargs, list(context = context)))
result$value

External consolidated eligible EOF minus SCR after its qualified minimum.

Description

This is not consolidation by adding individual SCRs. Input SCR must include externally required add-ons; EOF qualification and minimum coverage remain externally assessed. A negative surplus is deliberately retained. Future Article228 sectors must be excluded from consolidated inputs and added separately, after the minimum is applied to consolidated SCR only.

Usage

group_consolidated_surplus(
  eligible_own_funds,
  calculated_scr,
  minimum,
  qualification_reference,
  sector_contributions = 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("group-consolidated-deficit")
result <- do.call(group_consolidated_surplus,
  c(case$kwargs, list(context = context)))
result$value

Strict numerical thresholds only, never supervisory permission.

Description

All relevant holdings and consolidated assets are externally qualified. Exact decimal comparisons avoid a rounding tolerance at either boundary.

Usage

group_immaterial_participation_screen_2027(
  consolidated_assets,
  book_values,
  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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-immaterial-zero")
result <- do.call(group_immaterial_participation_screen_2027,
  c(case$kwargs, list(context = context)))
result$value

Declared holding criteria, not an automatic group or entity classification.

Description

Shares must use the precisely qualified212(1)f(vi) consolidated perimeter. Do not cap ratios at1: offsetting consolidated amounts can change ratios. Ongoing satisfaction and the other legal conditions remain external facts.

Usage

group_insurance_holding_conditions_2027(
  indicator_shares,
  other_supervisory_shares,
  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("holding-definition-equal")
result <- do.call(group_insurance_holding_conditions_2027,
  c(case$kwargs, list(context = context)))
result$value

Method1/combined LTE cap, not group SCR or an automatic classification.

Description

Article335(1)a amounts enter in full,335(1)c proportionally. On a qualified supervisory request replace only1(a) with the externally recomputed amount.

Usage

group_long_term_equity_limit_2027(
  full_amounts,
  proportional_amounts,
  supervisory_recalculation_required,
  recalculated_full_amount,
  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-close-group-zero")
result <- do.call(group_long_term_equity_limit_2027,
  c(case$kwargs, list(context = context)))
result$value

Parent plus proportionate related BE, preserving signed external valuations.

Description

Calculate before/after removal of intra-group transactions separately; this component does not invent an EOF-adjustment sign or revalue transactions.

Usage

group_method2_best_estimate_sum(
  parent_best_estimate,
  related,
  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 = "2026-09-23",
  currency = "EUR",
  profile_id = "EU-S2-DOCUMENTS-2027-v0.1")
case <- reference_case("future-group-be-empty")
result <- do.call(group_method2_best_estimate_sum,
  c(case$kwargs, list(context = context)))
result$value

Signed method2 aggregation component, not complete approved group solvency.

Description

Participation values already represent the held direct/indirect investment: never apply share twice. External EOF adjustments must not duplicate those values or the full-subsidiary-deficit correction calculated here. Group availability, tiers, intra-group transactions and scope are not inferred. Future Article228 sectors are explicit, already weighted and disjoint; their holding values are deducted once, not passed through insurer deficits.

Usage

group_method2_component_surplus(
  parent_own_funds,
  parent_scr,
  related,
  own_funds_adjustment,
  capital_addon,
  qualification_reference,
  sector_contributions = 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("group-method2-negative")
result <- do.call(group_method2_component_surplus,
  c(case$kwargs, list(context = context)))
result$value

Literal 2027 minority formula, on explicitly pre-qualified net amounts.

Description

Both own-funds inputs exclude intra-group subordinated liabilities and ancillary own funds. The other-nonavailable input also excludes paragraph4 items. A negative formula result is NOT an automatic own-funds credit.

Usage

group_minority_excess_2027(
  eligible_own_funds_net,
  other_nonavailable_own_funds_net,
  scr_contribution,
  parent_subscribed_capital_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("group-availability-future-minority-zero")
result <- do.call(group_minority_excess_2027,
  c(case$kwargs, list(context = context)))
result$value

Apply externally supplied model percentages; never develop an insurer model.

Description

The full declared entity set is checked before selecting one contribution. A1e-12 numerical sum tolerance is not regulatory materiality. Percentages are never renormalised, and neither ownership weights nor the future6a standard-formula cap are applied to this separate6b branch.

Usage

group_model_scr_contribution(
  entity,
  model_outputs,
  complete_scope_confirmed,
  model_reference,
  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("group-model-baseline-zero-share")
result <- do.call(group_model_scr_contribution,
  c(case$kwargs, list(context = context)))
result$value

Cap ONE externally qualified availability scope, without repeating the cap.

Description

The caller must not re-use one entity contribution across separate items and sum the individual results. This is neither an Article330(4) exemption nor a computation of total available group own funds. Historical DIR222(4) additionally limits its qualified(2)/(3)pool to the related insurer SCR. That optional scope is not imposed on other pools, nor carried into the future wording which instead uses the contribution.

Usage

group_nonavailable_own_funds_cap(
  amount,
  scr_contribution,
  qualification_reference,
  context,
  related_insurer_scr = NULL,
  ...
)

Arguments