HandleBasisVol

trades


Calculates the addon amount after splitting the trades into 'basis swap', 'volatility' and 'normal' transactions.
The corresponding penalty factors are applied to the supervisory factors for each trade group.


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.

HandleBasisVol: Calculates the Addon amount after handling basis and Volatility trades

Description

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