HandleBasisVol {SACCR}

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 <[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