CommodityForward-class: Commodity Forward Class

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

Commodity Forward Class

Description

Creates a Commodity Forward 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'
commodity_type	Takes the values of 'Oil','Gas','Silver','Electricity' etc.
SubClass	Defines the relevant hedging set. Possible values: 'Energy','Agriculture','Metal','Other','Climatic'

Value

An object of type Commodity Forward

Author(s)

Tasos Grivas <[e-mail]>

References

Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj

Examples

## the Commodity Forward trade given in the Basel regulation Commodity example
tr1 = CommodityForward(Notional=10000,MtM=-50,Si=0,Ei=0.75,
BuySell='Buy',SubClass='Energy',commodity_type='Oil')

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