CDOTranche-class: CDO tranche Class
In sa-ccr/Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

CDOTranche-class

R Documentation

CDO tranche Class

Description

Creates a CDO tranche Object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Arguments

`Notional`	The notional amount of the trade
`MTM`	The mark-to-market valuation of the trade
`Currency`	The currency set that the belongs
`Si`	The number of years after which the trade will start (zero if already started)
`Ei`	The number of years that the trade will expire
`BuySell`	Takes the values of either 'Buy' or 'Sell'
`attach_point`	The attachment point of the tranche
`detach_point`	The detachment point of the tranche

Value

An object of type CDOTrance

Examples


## a CDO trance object
tr3 = CDOTranche(Notional=10000,MtM=0,Currency="USD",Si=0,Ei=5,
BuySell='Buy',SubClass='IG',RefEntity='CDX.IG',cdo_attach_point=0.3 ,cdo_detach_point=0.5)

sa-ccr/Trading documentation built on Feb. 23, 2024, 9:26 p.m.