ExampleIRDCommMargined: Margined IRDs+Commodity Example

Description

Calculates the Exposure at Default for the margined IRDs + Commodity example as given in the Basel III regulatory paper

Usage

1

Arguments

JSON

(optional) if TRUE it returns a json string

Value

The exposure at default (expected value based on the Basel paper is 1879)

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

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


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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