Commodity-class: Commodity Class

In sa-ccr/Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Commodity Class

Description

Creates a Commodity 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 trade belongs to
Si	The number of years that the trade will take to start (zero if already started)
BuySell	Takes the values of either 'Buy' or 'Sell'
commodity_type	Takes the values of 'Oil/Gas','Silver','Electricity' etc.

Value

An object of type Commodity

Author(s)

Tasos Grivas <[e-mail]>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Examples

tr1 = Commodity(Notional=10000,MtM=-50,
BuySell='Buy',SubClass='Energy',commodity_type='Oil')

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