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

BondFuture-class

R Documentation

Bond Future Class

Description

Creates a Bond Future 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)
`Ei`	The number of years that the trade will expire
`BuySell`	Takes the values of either 'Buy' or 'Sell'
`yield`	The yield of the Underlying Bond
`isin`	The ISIN of the Underlying 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)
`Issuer`	The issuer of the bond

Value

An object of type Bond

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

Examples


example_trades = ParseTrades()
bondfuture_trade = example_trades[[17]]
tr1 = BondFuture(Notional=10000,MtM=30,Currency="EUR",Si=0,Ei=10,BuySell='Buy',
payment_frequency="SA",coupon_type="Fixed",Issuer="CountryA",ISIN = "XS0943423")

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