Trading (1.1)

Trades, Curves, Rating Tables, Add-on Tables, CSAs.

www.openriskcalculator.com
http://cran.r-project.org/web/packages/Trading

Contains trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs 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. There is a lot of functionality focusing on the counterparty credit risk calculations however the package can be used for trading applications in general.

Maintainer: Tasos Grivas
Author(s): Tasos Grivas

License: GPL-3

Uses: Does not use any package

Released about 3 years ago.