Credit Index Class

Share:

Description

Creates a Credit Index 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'

Value

An object of type CreditIndex

Examples

1
2
3
## the CreditIndex trade given in the Basel regulation Credit example
tr3 = CreditIndex(Notional=10000,MtM=0,Currency="USD",Si=0,Ei=5,
BuySell='Buy',SubClass='IG',RefEntity='CDX.IG')