CalcNGR: Calculates the Net/Gross ratio (NGR)
In xVA: Credit Risk Valuation Adjustments
CalcNGR R Documentation
Calculates the Net/Gross ratio (NGR)
Description
Calculates the Net/Gross ratio used under the CEM regulatory framework
Usage
CalcNGR(MtM_Vector)
Arguments
MtM_Vector
A vector containing the trades to be netted
Value
The Net-Gross ratio (NGR)
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
xVA documentation built on June 8, 2025, 1:56 p.m.
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| CalcNGR | R Documentation |
Calculates the Net/Gross ratio (NGR)
Description
Calculates the Net/Gross ratio used under the CEM regulatory framework
Usage
CalcNGR(MtM_Vector)
Arguments
MtM_Vector |
A vector containing the trades to be netted |
Value
The Net-Gross ratio (NGR)
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
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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