CDS-class: CDS Class

In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

CDS Class

Description

Creates a CDS 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 trade belongs to
Si	The number of years that the trade will take to start (zero if already started)
Ei	The number of years that the trade will expire
BuySell	Takes the values of either 'Buy' or 'Sell'
SubClass	Specifies the rating of the underlying entity (possible values are A, AA, BB etc)
RefEntity	The name of the underlying entity

Value

An object of type CDS

Author(s)

Tasos Grivas <[e-mail]>

References

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

Examples

## the CDS trade given in the Basel regulation Credit example
tr1 = CDS(Notional=10000,MtM=20,Currency="USD",Si=0,Ei=3,BuySell='Buy',
SubClass='AA',RefEntity='FirmA')

Trading documentation built on Aug. 27, 2022, 1:05 a.m.