HandleBasisVol {SACCR} | R Documentation |
Receives a list of trades and splits them according to being basis, volatility or 'normal' transactions
HandleBasisVol(trades)
trades |
The full list of the Trade Objects |
A list depicting which trade IDs fall under each hedging set.
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm