CreditIndex

Notional

The mark-to-market valuation of the trade

Currency

The number of years after which the trade will start (zero if already started)

The number of years that the trade will expire

Takes the values of either 'Buy' or 'Sell'

BuySell


Creates a Credit Index Object with the relevant info needed to calculate the Exposure-at-Default (EAD)


CreditIndex-class

Computes the Exposure-At-Default based on standardized approach
of the Basel III Regulatory framework (SA-CCR). Currently, trade types of all
the five major asset classes have been created and, given the inheritance-
based structure of the application, the addition of further trade types is
straightforward. The application automatically separates the trades on the
corresponding hedging and netting sets including the basis and volatility
transactions. All the examples appearing on the regulatory paper (including the
margined and the un-margined workflow) have been implemented.

CreditIndex-class: Credit Index Class

Description

Arguments

Value

Examples