calcEffectiveMaturity: Calculates the Effective Maturity
In xVA: Calculates Credit Risk Valuation Adjustments
View source: R/calcEffectiveMaturity.R
calcEffectiveMaturity R Documentation
Calculates the Effective Maturity
Description
Calculates the effective maturity based on the specified regulatory framework
Usage
calcEffectiveMaturity(trades, time_points, framework, simulated_exposure)
Arguments
trades
The full list of the Trade Objects
time_points
The timepoints that the analysis is performed on
framework
Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'
simulated_exposure
The exposure profile list containing the EE, EEE etc
Value
The effective maturity of the trade set
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
xVA documentation built on Sept. 9, 2022, 3:04 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
View source: R/calcEffectiveMaturity.R
| calcEffectiveMaturity | R Documentation |
Calculates the Effective Maturity
Description
Calculates the effective maturity based on the specified regulatory framework
Usage
calcEffectiveMaturity(trades, time_points, framework, simulated_exposure)
Arguments
trades |
The full list of the Trade Objects |
time_points |
The timepoints that the analysis is performed on |
framework |
Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR' |
simulated_exposure |
The exposure profile list containing the EE, EEE etc |
Value
The effective maturity of the trade set
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.