HandleBasisVol {SACCR}R Documentation

Splits trades in being basis, volatility or 'normal' transactions

Description

Receives a list of trades and splits them according to being basis, volatility or 'normal' transactions

Usage

HandleBasisVol(trades)

Arguments

trades

The full list of the Trade Objects

Value

A list depicting which trade IDs fall under each hedging set.

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

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


[Package SACCR version 2.3 Index]