| EquityOptionIndex-class {Trading} | R Documentation |
Equity Option Index Class
Description
Creates an Equity Option Index 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' |
traded_price |
the price that trade was done |
Value
An object of type EquityOption
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
[Package Trading version 3.0 Index]