OtherExposure-class: OtherExposure Class

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

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 <[e-mail]>

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 April 13, 2025, 5:10 p.m.