CDS-class {Trading}

CDS Class

Description

Creates a CDS 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'

SubClass

Specifies the rating of the underlying entity (possible values are A, AA, BB etc)

RefEntity

The name of the underlying entity

Value

An object of type CDS

Author(s)

Tasos Grivas <[e-mail]>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Examples

## the CDS trade given in the Basel regulation Credit example
tr1 = CDS(Notional=10000,MtM=20,Currency="USD",Si=0,Ei=3,BuySell='Buy',
SubClass='AA',RefEntity='FirmA')