FxForward-class: FX Forward Class

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

FX Forward Class

Description

Creates a FX 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 that the input amounts are in
ccyPair	The currency Pair of the trade
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'
traded_price	the price that trade was done

Value

An object of type FX Forward

Author(s)

Tasos Grivas <[e-mail]>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Examples

## an FX Forward trade 
tr1 = FxForward(Notional=10000,MtM=-50,Si=0,Ei=0.75,BuySell='Buy',ccyPair="EUR/USD")
## a dynamic version of the same trade
tr2 = FxForward(MtM=-50,Si=0,Ei=0.75,ccy_paying="USD",amount_paying=10000,
ccy_receiving="EUR",amount_receiving=9900)
tr2$base_ccy="EUR"
tr2$setFXDynamic()

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