calcEffectiveMaturity: Calculates the Effective Maturity

Description Usage Arguments Value Author(s)

Description

Calculates the effective maturity based on the specified regulatory framework

Usage

1
calcEffectiveMaturity(trades, time_points, framework, simulated_exposure)

Arguments

trades

The full list of the Trade Objects

time_points

The timepoints that the analysis is performed on

framework

Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'

simulated_exposure

The exposure profile list containing the EE, EEE etc

Value

The effective maturity of the trade set

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>



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