CDOTranche-class: CDO tranche Class

In Trading: Trade Objects, Advanced Correlation & Beta Estimates, Betting Strategies

CDO tranche Class

Description

Creates a CDO tranche Object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Arguments

Notional	The notional amount of the trade
MTM	The mark-to-market valuation of the trade
Currency	The currency set that the belongs
Si	The number of years after which the trade will start (zero if already started)
Ei	The number of years that the trade will expire
BuySell	Takes the values of either 'Buy' or 'Sell'
attach_point	The attachment point of the tranche
detach_point	The detachment point of the tranche

Value

An object of type CDOTrance

Examples

## a CDO trance object
tr3 = CDOTranche(Notional=10000,MtM=0,Currency="USD",Si=0,Ei=5,
BuySell='Buy',SubClass='IG',RefEntity='CDX.IG',cdo_attach_point=0.3 ,cdo_detach_point=0.5)

Trading documentation built on April 13, 2025, 5:10 p.m.