| calcEffectiveMaturity {xVA} | R Documentation |
Calculates the Effective Maturity
Description
Calculates the effective maturity based on the specified regulatory framework
Usage
calcEffectiveMaturity(trades, time_points, framework, simulated_exposure)
Arguments
trades |
The full list of the Trade Objects |
time_points |
The timepoints that the analysis is performed on |
framework |
Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR' |
simulated_exposure |
The exposure profile list containing the EE, EEE etc |
Value
The effective maturity of the trade set
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
[Package xVA version 1.1 Index]