OtherExposure-class: OtherExposure Class
In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies
OtherExposure-class R Documentation
OtherExposure Class
Description
Creates a OtherExposure 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
Defines the hedging set the relevant trade will belong to
Value
An object of type OtherExposure
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019
http://data.europa.eu/eli/reg/2019/876/oj
Examples
tr1 = OtherExposure(Notional=10000,MtM=-50,Si=0,Ei=10,
BuySell='Buy',SubClass='Other_1')
Trading documentation built on Aug. 27, 2022, 1:05 a.m.
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| OtherExposure-class | R Documentation |
OtherExposure Class
Description
Creates a OtherExposure 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 |
Defines the hedging set the relevant trade will belong to |
Value
An object of type OtherExposure
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj
Examples
tr1 = OtherExposure(Notional=10000,MtM=-50,Si=0,Ei=10, BuySell='Buy',SubClass='Other_1')
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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