HandleBasisVol: Splits trades in being basis, volatility or 'normal'...

View source: R/HandleBasisVol.R

HandleBasisVolR Documentation

Splits trades in being basis, volatility or 'normal' transactions

Description

Receives a list of trades and splits them according to being basis, volatility or 'normal' transactions

Usage

HandleBasisVol(trades)

Arguments

trades

The full list of the Trade Objects

Value

A list depicting which trade IDs fall under each hedging set.

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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