CDOTranche-class | R Documentation |
Creates a CDO tranche Object with the relevant info needed to calculate the Exposure-at-Default (EAD)
Notional |
The notional amount of the trade |
MTM |
The mark-to-market valuation of the trade |
Currency |
The currency set that the belongs |
Si |
The number of years after which the trade will start (zero if already started) |
Ei |
The number of years that the trade will expire |
BuySell |
Takes the values of either 'Buy' or 'Sell' |
attach_point |
The attachment point of the tranche |
detach_point |
The detachment point of the tranche |
An object of type CDOTrance
## a CDO trance object
tr3 = CDOTranche(Notional=10000,MtM=0,Currency="USD",Si=0,Ei=5,
BuySell='Buy',SubClass='IG',RefEntity='CDX.IG',cdo_attach_point=0.3 ,cdo_detach_point=0.5)
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