ExampleBasisVol: Basis+Volatility trades Example

Description Usage Arguments Value Author(s) References

View source: R/ExampleBasisVol.R

Description

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

Usage

1

Arguments

JSON

(optional) if TRUE it returns a json string

Value

The exposure at default

Author(s)

Tasos Grivas <[email protected]>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm


SACCR documentation built on May 1, 2019, 8 p.m.