BondFuture-class {Trading}

Bond Future Class

Description

Creates a Bond Future 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)

Ei

The number of years that the trade will expire

BuySell

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

yield

The yield of the Underlying Bond

isin

The ISIN of the Underlying 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)

Issuer

The issuer of the bond

Value

An object of type Bond

Author(s)

Tasos Grivas <[e-mail]>

Examples

example_trades = ParseTrades()
bondfuture_trade = example_trades[[17]]
tr1 = BondFuture(Notional=10000,MtM=30,Currency="EUR",Si=0,Ei=10,BuySell='Buy',
payment_frequency="SA",coupon_type="Fixed",Issuer="CountryA",ISIN = "XS0943423")