sa-ccr/Trading: Trades, Curves, Rating Tables, Add-on Tables, CSAs
Version 1.1

Contains trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. There is a lot of functionality focusing on the counterparty credit risk calculations however the package can be used for trading applications in general.

Getting started

Package details

AuthorTasos Grivas
Date of publication2016-11-20 23:14:06
MaintainerTasos Grivas <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
sa-ccr/Trading documentation built on June 21, 2017, 11:23 a.m.