sa-ccr-python/ExampleIRD.py at master · sa-ccr/sa-ccr-python · GitHub

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from IRD import *
from runExampleCalcs import *
#Tested to match R version

def ExampleIRD():

    # creating the trade objects and storing them in a list
    tr1 = IRDSwap(Notional=10000,MtM=30,Currency="USD",Si=0,Ei=10,BuySell='Buy')
    tr2 = IRDSwap(Notional=10000,MtM=-20,Currency="USD",Si=0,Ei=4,BuySell='Sell')
    tr3 = IRDSwaption(Notional=5000,MtM=50,Currency="EUR",Si=1,Ei=11,BuySell='Sell',OptionType='Put',UnderlyingPrice=0.06,StrikePrice=0.05)

    trades= [tr1,tr2,tr3]

    # calculating the Exposure-at-Default
    return  runExampleCalcs(trades)

print(ExampleIRD())

def ExampleIRD():
    """Testing negative underlying price"""

    # creating the trade objects and storing them in a list
    tr1 = IRDSwap(Notional=10000,MtM=30,Currency="USD",Si=0,Ei=10,BuySell='Buy')
    tr2 = IRDSwap(Notional=10000,MtM=-20,Currency="USD",Si=0,Ei=4,BuySell='Sell')
    tr3 = IRDSwaption(Notional=5000,MtM=50,Currency="EUR",Si=1,Ei=11,BuySell='Sell',OptionType='Put',UnderlyingPrice=-0.06,StrikePrice=0.05)

    trades= [tr1,tr2,tr3]

    # calculating the Exposure-at-Default
    return  runExampleCalcs(trades)

print(ExampleIRD())