Calculates the Net/Gross ratio (NGR)

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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>