ExampleBasisVol {SACCR}

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 <[e-mail]>

References

Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj