FxForward-class: FX Forward Class
In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

FxForward-class

R Documentation

FX Forward Class

Description

Creates a FX Forward 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 that the input amounts are in
`ccyPair`	The currency Pair of the trade
`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'
`traded_price`	the price that trade was done

Value

An object of type FX Forward

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

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

Examples


## an FX Forward trade 
tr1 = FxForward(Notional=10000,MtM=-50,Si=0,Ei=0.75,BuySell='Buy',ccyPair="EUR/USD")
## a dynamic version of the same trade
tr2 = FxForward(MtM=-50,Si=0,Ei=0.75,ccy_paying="USD",amount_paying=10000,
ccy_receiving="EUR",amount_receiving=9900)
tr2$base_ccy="EUR"
tr2$setFXDynamic()

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