OtherExposure-class {Trading}

OtherExposure Class

Description

Creates a OtherExposure 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

Defines the hedging set the relevant trade will belong to

Value

An object of type OtherExposure

Author(s)

Tasos Grivas <[e-mail]>

References

Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj

Examples

tr1 = OtherExposure(Notional=10000,MtM=-50,Si=0,Ei=10,
BuySell='Buy',SubClass='Other_1')