Bond-class: Bond Class
In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Bond-class

R Documentation

Bond Class

Description

Creates a Bond object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Arguments

`Notional`	The notional amount of the trade
`MTM`	The mark-to-market valuation of the trade
`Currency`	The currency set that the trade belongs to
`Si`	The number of years that the trade will take to start (zero if already started)
`BuySell`	Takes the values of either 'Buy' or 'Sell'
`yield`	The yield of the Bond
`ISIN`	The ISIN of the Bond,
`payment_frequency`	the frequency that the bond pays coupon (Quarter, SA etc)
`maturity_date`	the maturity date of the bond
`coupon_type`	The coupon type of the bond (fixed, floating, flipper etc)
`credit_risk_weight`	The percentage weight of the exposure of the bond that should be attributed to the 'Credit' asset class
`Issuer`	The issuer of the bond

Value

An object of type Bond

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

Examples


tr1 = Bond(Notional=10000,MtM=30,Currency="EUR",Si=0,maturity_date="2026-04-04",
BuySell='Buy',payment_frequency="SA",
credit_risk_weight=0.2,coupon_type="Fixed",Issuer="FirmA",ISIN = "XS0943423")

Trading documentation built on Feb. 13, 2024, 3 a.m.