HandleBasisVol: Splits trades in being basis, volatility or 'normal'...
In SACCR: SA Counterparty Credit Risk under CRR2
View source: R/HandleBasisVol.R
HandleBasisVol R Documentation
Splits trades in being basis, volatility or 'normal' transactions
Description
Receives a list of trades and splits them according to being basis, volatility or 'normal' transactions
Usage
HandleBasisVol(trades)
Arguments
trades
The full list of the Trade Objects
Value
A list depicting which trade IDs fall under each hedging set.
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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View source: R/HandleBasisVol.R
| HandleBasisVol | R Documentation |
Splits trades in being basis, volatility or 'normal' transactions
Description
Receives a list of trades and splits them according to being basis, volatility or 'normal' transactions
Usage
HandleBasisVol(trades)
Arguments
trades |
The full list of the Trade Objects |
Value
A list depicting which trade IDs fall under each hedging set.
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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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