ExampleBasisVol: Basis+Volatility trades Example

View source: R/ExampleBasisVol.R

ExampleBasisVolR Documentation

Basis+Volatility trades Example

Description

Calculates the Exposure at Default for a trade set containing basis and volatility transactions

Usage

ExampleBasisVol(JSON = FALSE)

Arguments

JSON

(optional) if TRUE it returns a json string

Value

The exposure at default

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj


SACCR documentation built on March 18, 2022, 7:01 p.m.

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