Trading (version 2.1)

FxForward-class: FX Forward Class

Description

Creates a FX Forward 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 that the input amounts are in

ccyPair

The currency Pair of the trade

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'

traded_price

the price that trade was done

Value

An object of type FX Forward

References

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

Examples

# NOT RUN {
## a FX Forward trade 
tr1 = FxForward(Notional=10000,MtM=-50,Si=0,Ei=0.75,BuySell='Buy',ccyPair="EUR/USD")
# }