CDX-class | R Documentation |
Creates a Credit Index 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' |
SubClass |
Specifies if the underlying Index is investment grade or not (possible values are IG & SG) |
RefEntity |
The name of the underlying Index |
An object of type CDX
## the CDX trade given in the Basel regulation Credit example
tr3 = CDX(Notional=10000,MtM=0,Currency="USD",Si=0,Ei=5,
BuySell='Buy',SubClass='IG',RefEntity='Portfolio_1')
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