ExampleBasisVol: Basis+Volatility trades Example
In SACCR: SA Counterparty Credit Risk under CRR2
View source: R/ExampleBasisVol.R
ExampleBasisVol R Documentation
Basis+Volatility trades Example
Description
Calculates the Exposure at Default for a trade set containing basis and volatility transactions
Usage
ExampleBasisVol(JSON = FALSE)
Arguments
JSON
(optional) if TRUE it returns a json string
Value
The exposure at default
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019
http://data.europa.eu/eli/reg/2019/876/oj
SACCR documentation built on March 19, 2022, 3:04 a.m.
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View source: R/ExampleBasisVol.R
| ExampleBasisVol | R Documentation |
Basis+Volatility trades Example
Description
Calculates the Exposure at Default for a trade set containing basis and volatility transactions
Usage
ExampleBasisVol(JSON = FALSE)
Arguments
JSON |
(optional) if TRUE it returns a json string |
Value
The exposure at default
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj
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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