| CommSwap-class {Trading} | R Documentation |
Commodity Swap Class
Description
Creates a Commodity Swap Object with the relevant info needed to calculate the Exposure-at-Default (EAD)
Value
An object of type CommSwap
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm
[Package Trading version 3.0 Index]