ExampleBasisVol {SACCR} | R Documentation |
Calculates the Exposure at Default for a trade set containing basis and volatility transactions
ExampleBasisVol(JSON = FALSE)
JSON |
(optional) if TRUE it returns a json string |
The exposure at default
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm