FxSwap-class

FxSwap

Creates an FX Swap object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Contains performance analysis metrics of track records including entropy-based
correlation and dynamic beta based on a state/space algorithm. The normalized sample entropy method
has been implemented which produces accurate entropy estimation even on smaller datasets.
On a separate stream, trades from the five major assets classes and also
functionality to use pricing curves, rating tables, Credit Support Annex and add-on tables. The
implementation follows an object oriented logic whereby each trade inherits from
more abstract classes while also the curves/tables are objects. Furthermore, odds calculators
and P&L back-testing functionality has been implemented for the most widely used betting/trading
strategies including martingale, 'DAlembert', 'Labouchere' and Fibonacci. Back testing has also been included for the 'EuroMillions',
the 'EuroJackpot', the UK Lotto, the Set For Life and the UK 'ThunderBall' lotteries.
Furthermore, some basic functionality about climate risk has been included.

Tasos Grivas

Trading

Trade Objects, Advanced Correlation & Beta Estimates, Betting
Strategies

FxSwap-class function

<dl><dt>Notional</dt>
<dd>The notional amount of the trade</dd>
<dt>MTM</dt>
<dd>The mark-to-market valuation of the trade</dd>
<dt>Currency</dt>
<dd>The currency that the input amounts are in</dd>
<dt>ccyPair</dt>
<dd>The currency Pair of the trade</dd>
<dt>Si</dt>
<dd>The number of years that the trade will take to start (zero if already started)</dd>
<dt>Ei</dt>
<dd>The number of years that the trade will expire</dd>
<dt>BuySell</dt>
<dd>Takes the values of either 'Buy' or 'Sell'</dd>
<dt>traded_price</dt>
<dd>the price that trade was done</dd>
<dt>fx_near_leg_fields</dt>
<dd>(Optional) In case the near leg hasn't settled yet, its notional, MtM, settlement date should be provided separated via a semicolon</dd></dl>

Arguments

Tasos Grivas &lt;tasos@openriskcalculator.com&gt;

Author

Fx Swap Class — FxSwap-class

<dl>

<dt>Notional</dt>
<dd>The notional amount of the trade</dd>


<dt>MTM</dt>
<dd>The mark-to-market valuation of the trade</dd>


<dt>Currency</dt>
<dd>The currency that the input amounts are in</dd>


<dt>ccyPair</dt>
<dd>The currency Pair of the trade</dd>


<dt>Si</dt>
<dd>The number of years that the trade will take to start (zero if already started)</dd>


<dt>Ei</dt>
<dd>The number of years that the trade will expire</dd>


<dt>BuySell</dt>
<dd>Takes the values of either 'Buy' or 'Sell'</dd>


<dt>traded_price</dt>
<dd>the price that trade was done</dd>


<dt>fx_near_leg_fields</dt>
<dd>(Optional) In case the near leg hasn't settled yet, its notional, MtM, settlement date should be provided separated via a semicolon</dd>

</dl>

FxSwap-class: Fx Swap Class

Description

Value

Arguments

Author

References

Examples