Trading: Trades, Curves, Rating Tables, Add-on Tables, CSAs

Contains trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. There is a lot of functionality focusing on the counterparty credit risk calculations however the package can be used for trading applications in general.

Install the latest version of this package by entering the following in R:
AuthorTasos Grivas
Date of publication2016-11-20 23:14:06
MaintainerTasos Grivas <>

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