Trading (version 3.1)

CDOTranche-class: CDO tranche Class

Description

Creates a CDO tranche Object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Value

An object of type CDOTrance

Arguments

Notional

The notional amount of the trade

MTM

The mark-to-market valuation of the trade

Currency

The currency set that the belongs

Si

The number of years after which the trade will start (zero if already started)

Ei

The number of years that the trade will expire

BuySell

Takes the values of either 'Buy' or 'Sell'

attach_point

The attachment point of the tranche

detach_point

The detachment point of the tranche

Examples

## a CDO trance object
tr3 = CDOTranche(Notional=10000,MtM=0,Currency="USD",Si=0,Ei=5,
BuySell='Buy',SubClass='IG',RefEntity='CDX.IG',cdo_attach_point=0.3 ,cdo_detach_point=0.5)