xVA (version 0.8)

IRSwap-class: IR Swap Class

Description

Creates an IR Swap 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'

swap_rate

The rate of the fixed leg of the swap

Value

An object of type IRSwap

Examples

# the IR Swap trade given in the Basel regulation IR example
tr1 = IRSwap(Notional=10000,MtM=30,Currency="USD",Si=0,Ei=10,BuySell='Buy')