ExampleBasisVol {SACCR}R Documentation

Basis+Volatility trades Example

Description

Calculates the Exposure at Default for a trade set containing basis and volatility transactions

Usage

ExampleBasisVol(JSON = FALSE)

Arguments

JSON

(optional) if TRUE it returns a json string

Value

The exposure at default

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]