Bond-class {Trading}

Bond Class

Description

Creates a Bond object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Arguments

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)

BuySell

Takes the values of either 'Buy' or 'Sell'

yield

The yield of the Bond

ISIN

The ISIN of the Bond,

payment_frequency

the frequency that the bond pays coupon (Quarter, SA etc)

maturity_date

the maturity date of the bond

coupon_type

The coupon type of the bond (fixed, floating, flipper etc)

credit_risk_weight

The percentage weight of the exposure of the bond that should be attributed to the 'Credit' asset class

Issuer

The issuer of the bond

Value

An object of type Bond

Author(s)

Tasos Grivas <[e-mail]>

Examples

tr1 = Bond(Notional=10000,MtM=30,Currency="EUR",Si=0,maturity_date="2026-04-04",
BuySell='Buy',payment_frequency="SA",
credit_risk_weight=0.2,coupon_type="Fixed",Issuer="FirmA",ISIN = "XS0943423")