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

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 <>

View on R-Forge

Questions? Problems? Suggestions? or email at

All documentation is copyright its authors; we didn't write any of that.