CDX-class: CDX Class

In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

CDX Class

Description

Creates a Credit Index 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 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

Value

An object of type CDX

Examples

## 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')

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