CalcNGR: Calculates the Net/Gross ratio (NGR)

Description Usage Arguments Value Author(s)

View source: R/CalcNGR.R

Description

Calculates the Net/Gross ratio used under the CEM regulatory framework

Usage

1
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 Aug. 30, 2020, 1:06 a.m.

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