IRDSwaption-class: IRD Swaption Class

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

IRD Swaption Class

Description

Creates an IRD Swaption 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)
Ei	The number of years that the trade will expire
BuySell	Takes the values of either 'Buy' or 'Sell'
OptionType	Takes the values of either 'Put' or 'Call'
UnderlyingPrice	The current price of the underlying
StrikePrice	The strike price of the option

Value

An object of type IRDSwaption

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

# the Swaption trade given in the Basel regulation IRD example
tr3 = IRDSwaption(Notional=5000,MtM=50,Currency="EUR",Si=1,Ei=11,BuySell='Sell',
OptionType='Put',UnderlyingPrice=0.06,StrikePrice=0.05)

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