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

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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.

Author
Tasos Grivas
Date of publication
2016-11-20 23:14:06
Maintainer
Tasos Grivas <info@openriskcalculator.com>
License
GPL-3
Version
1.1
URLs

View on CRAN

Man pages

Bond-class
Bond Class
BondFuture-class
Bond Future Class
CDOTranche-class
CDO tranche Class
Collateral-class
Collateral Class
Commodity-class
Commodity Class
CommodityForward-class
Commodity Forward Class
CommSwap-class
Commodity Swap Class
CreditIndex-class
Credit Index Class
CreditSingle-class
Credit Single Class
CSA-class
CSA Class
Curve-class
Curve Class
Equity-class
Equity Class
EquityIndexFuture-class
Equity Index Future Class
FXSwap-class
FX Swap Class
GetTradeDetails
Returns a list with the populated fields of a Trade Object
HashTable-class
Hashtable Class
IRDSwap-class
IRD Swap Class
IRDSwaption-class
IRD Swaption Class
IRDSwapVol-class
IRD Swap Volatility Class
ParseTrades
Parse trades through a .csv file.

Files in this package

Trading
Trading/inst
Trading/inst/extdata
Trading/inst/extdata/coll_basel.csv
Trading/inst/extdata/coll.csv
Trading/inst/extdata/CSA.csv
Trading/inst/extdata/example_trades.csv
Trading/inst/extdata/spot_rates.csv
Trading/inst/extdata/RatingsMapping.csv
Trading/inst/extdata/supervisory_factors.csv
Trading/inst/extdata/AddonTable.csv
Trading/inst/extdata/CSA_basel.csv
Trading/NAMESPACE
Trading/R
Trading/R/Trade.R
Trading/R/Equity.R
Trading/R/IRD.R
Trading/R/Credit.R
Trading/R/Commodity.R
Trading/R/Curve.R
Trading/R/Vol.R
Trading/R/Swap.R
Trading/R/Collateral.R
Trading/R/ParseTrades.R
Trading/R/CSA.R
Trading/R/Option.R
Trading/R/GetTradeDetails.R
Trading/R/HashTable.R
Trading/R/FX.R
Trading/R/Bond.R
Trading/MD5
Trading/DESCRIPTION
Trading/man
Trading/man/Curve-class.Rd
Trading/man/CreditIndex-class.Rd
Trading/man/IRDSwaption-class.Rd
Trading/man/CDOTranche-class.Rd
Trading/man/BondFuture-class.Rd
Trading/man/GetTradeDetails.Rd
Trading/man/Bond-class.Rd
Trading/man/IRDSwapVol-class.Rd
Trading/man/CommodityForward-class.Rd
Trading/man/Commodity-class.Rd
Trading/man/Collateral-class.Rd
Trading/man/CommSwap-class.Rd
Trading/man/Equity-class.Rd
Trading/man/IRDSwap-class.Rd
Trading/man/FXSwap-class.Rd
Trading/man/ParseTrades.Rd
Trading/man/EquityIndexFuture-class.Rd
Trading/man/CreditSingle-class.Rd
Trading/man/HashTable-class.Rd
Trading/man/CSA-class.Rd