CommodityForward-class {Trading} | R Documentation |
Creates a Commodity Forward Object with the relevant info needed to calculate the Exposure-at-Default (EAD)
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' |
commodity_type |
Takes the values of 'Oil/Gas','Silver','Electricity' etc. |
An object of type Commodity Forward
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm
## the Commodity Forward trade given in the Basel regulation Commodity example tr1 = CommodityForward(Notional=10000,MtM=-50,Si=0,Ei=0.75, BuySell='Buy',SubClass='Energy',commodity_type='Oil/Gas')