Trading: Trades, Curves, Rating Tables, Add-on Tables, CSAs
Version 1.1

Contains trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. There is a lot of functionality focusing on the counterparty credit risk calculations however the package can be used for trading applications in general.

AuthorTasos Grivas
Date of publication2016-11-29 20:08:18
MaintainerTasos Grivas <info@openriskcalculator.com>
LicenseGPL-3
Version1.1
URL www.openriskcalculator.com
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("Trading", repos="http://R-Forge.R-project.org")

Popular man pages

Commodity-class: Commodity Class
CommodityForward-class: Commodity Forward Class
CreditIndex-class: Credit Index Class
CreditSingle-class: Credit Single Class
Equity-class: Equity Class
EquityIndexFuture-class: Equity Index Future Class
IRDSwaption-class: IRD Swaption Class
See all...

All man pages Function index File listing

Man pages

Bond-class: Bond Class
BondFuture-class: Bond Future Class
CDOTranche-class: CDO tranche Class
Collateral-class: Collateral Class
Commodity-class: Commodity Class
CommodityForward-class: Commodity Forward Class
CommSwap-class: Commodity Swap Class
CreditIndex-class: Credit Index Class
CreditSingle-class: Credit Single Class
CSA-class: CSA Class
Curve-class: Curve Class
Equity-class: Equity Class
EquityIndexFuture-class: Equity Index Future Class
FXSwap-class: FX Swap Class
GetTradeDetails: Returns a list with the populated fields of a Trade Object
HashTable-class: Hashtable Class
IRDSwap-class: IRD Swap Class
IRDSwaption-class: IRD Swaption Class
IRDSwapVol-class: IRD Swap Volatility Class
ParseTrades: Parse trades through a .csv file.

Functions

Files

DESCRIPTION
NAMESPACE
R
R/Bond.R
R/CSA.R
R/Collateral.R
R/Commodity.R
R/Credit.R
R/Curve.R
R/Equity.R
R/FX.R
R/GetTradeDetails.R
R/HashTable.R
R/IRD.R
R/Option.R
R/ParseTrades.R
R/Swap.R
R/Trade.R
R/Vol.R
inst
inst/extdata
inst/extdata/AddonTable.csv
inst/extdata/CSA.csv
inst/extdata/CSA_basel.csv
inst/extdata/RatingsMapping.csv
inst/extdata/coll.csv
inst/extdata/coll_basel.csv
inst/extdata/example_trades.csv
inst/extdata/spot_rates.csv
inst/extdata/supervisory_factors.csv
man
man/Bond-class.Rd
man/BondFuture-class.Rd
man/CDOTranche-class.Rd
man/CSA-class.Rd
man/Collateral-class.Rd
man/CommSwap-class.Rd
man/Commodity-class.Rd
man/CommodityForward-class.Rd
man/CreditIndex-class.Rd
man/CreditSingle-class.Rd
man/Curve-class.Rd
man/Equity-class.Rd
man/EquityIndexFuture-class.Rd
man/FXSwap-class.Rd
man/GetTradeDetails.Rd
man/HashTable-class.Rd
man/IRDSwap-class.Rd
man/IRDSwapVol-class.Rd
man/IRDSwaption-class.Rd
man/ParseTrades.Rd
Trading documentation built on May 21, 2017, 1:11 a.m.

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