CalcNGR: Calculates the Net/Gross ratio (NGR)

View source: R/CalcNGR.R

CalcNGRR Documentation

Calculates the Net/Gross ratio (NGR)

Description

Calculates the Net/Gross ratio used under the CEM regulatory framework

Usage

CalcNGR(MtM_Vector)

Arguments

MtM_Vector

A vector containing the trades to be netted

Value

The Net-Gross ratio (NGR)

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>


xVA documentation built on Sept. 9, 2022, 3:04 p.m.

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