| CalcNGR {xVA} | R Documentation |
Calculates the Net/Gross ratio (NGR)
Description
Calculates the Net/Gross ratio used under the CEM regulatory framework
Usage
CalcNGR(MtM_Vector)
Arguments
MtM_Vector |
A vector containing the trades to be netted |
Value
The Net-Gross ratio (NGR)
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
[Package xVA version 1.1 Index]