SACCR (version 1.5)

IRDSwaption-class: IRD Swaption Class

Description

Creates an IRD Swaption 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 set that the trade belongs to

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'

OptionType

Takes the values of either 'Put' or 'Call'

UnderlyingPrice

The current price of the underlying

StrikePrice

The strike price of the option

Value

An object of type IRDSwaption

References

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

Examples

# the Swaption trade given in the Basel regulation IRD example
tr3 = IRDSwaption(Notional=5000,MtM=50,Currency="EUR",Si=1,Ei=11,BuySell='Sell',
OptionType='Put',UnderlyingPrice=0.06,StrikePrice=0.05)