| FxSwap-class {Trading} | R Documentation |
Fx Swap Class
Description
Creates an FX Swap 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 that the input amounts are in |
ccyPair |
The currency Pair of the trade |
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 |
fx_near_leg_fields |
(Optional) In case the near leg hasn't settled yet, its notional, MtM, settlement date should be provided separated via a semicolon |
Value
An object of type FXSwap
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
Examples
tr1 = FxSwap(Notional=10000,MtM=30,ccyPair="EUR/USD",Si=0,Ei=10,
BuySell='Buy',fx_near_leg_fields='1000;-20;2020-02-11')