View source: R/calcEffectiveMaturity.R
calcEffectiveMaturity | R Documentation |
Calculates the effective maturity based on the specified regulatory framework
calcEffectiveMaturity(trades, time_points, framework, simulated_exposure)
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 |
The effective maturity of the trade set
Tasos Grivas <tasos@openriskcalculator.com>
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