CreateTradeGraph: Creates a tree-like structure of a list of trades
In SACCR: SA Counterparty Credit Risk under CRR2
View source: R/CreateTradeGraph.R
CreateTradeGraph R Documentation
Creates a tree-like structure of a list of trades
Description
Creates a tree-like structure describing the various hedging sets / risk factors that that the input trades can be broken into
Usage
CreateTradeGraph(trades)
Arguments
trades
The full list of the Trade Objects
Value
A tree structure based on hedging/netting sets and basis/volatility transactions
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
SACCR documentation built on March 19, 2022, 3:04 a.m.
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View source: R/CreateTradeGraph.R
| CreateTradeGraph | R Documentation |
Creates a tree-like structure of a list of trades
Description
Creates a tree-like structure describing the various hedging sets / risk factors that that the input trades can be broken into
Usage
CreateTradeGraph(trades)
Arguments
trades |
The full list of the Trade Objects |
Value
A tree structure based on hedging/netting sets and basis/volatility transactions
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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