Uses of Record Class
com.quantfinlib.risk.SaCcrTrade

Packages that use SaCcrTrade

Package	Description
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of SaCcrTrade in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return SaCcrTrade

Modifier and Type	Method	Description
SaCcrTrade	SaCcrTrade.asBasis()	This trade as a basis transaction (para 162): a non-FX trade whose two floating legs reference risk factors of the same asset class in the same currency, such as 3m LIBOR against OIS.
SaCcrTrade	SaCcrTrade.asVolatility()	This trade as a volatility transaction (para 163): the reference is a volatility or variance of a risk factor, such as a variance swap.
static SaCcrTrade	SaCcrTrade.commodity(SaCcr.CommoditySet set, String commodityType, double adjustedNotional, double maturityYears, double delta, double marketValue)	Commodity derivative.
static SaCcrTrade	SaCcrTrade.credit(String entity, SaCcr.CreditGrade grade, double notional, double startYears, double endYears, double maturityYears, double delta, double marketValue)	Credit derivative on a single name or an index.
static SaCcrTrade	SaCcrTrade.equity(String entity, boolean index, double adjustedNotional, double maturityYears, double delta, double marketValue)	Equity derivative on a single name or an index.
static SaCcrTrade	SaCcrTrade.fx(String currencyPair, double foreignLegNotional, double maturityYears, double delta, double marketValue)	FX derivative.
static SaCcrTrade	SaCcrTrade.interestRate(String currency, double notional, double startYears, double endYears, double maturityYears, double delta, double marketValue)	Interest-rate derivative.

Methods in com.quantfinlib.risk that return types with arguments of type SaCcrTrade

Modifier and Type	Method	Description
List<SaCcrTrade>	SaCcr.SubNettingSet.trades()	Returns the value of the trades record component.

Method parameters in com.quantfinlib.risk with type arguments of type SaCcrTrade

Modifier and Type	Method	Description
static SaCcr.Result	SaCcr.margined(List<SaCcrTrade> trades, double collateralHeld, SaCcr.Margin margin)	EAD of a margined netting set.
static SaCcr.Result	SaCcr.oneMarginAgreementManyNettingSets(List<List<SaCcrTrade>> nettingSets, double collateralHeld)	One margin agreement covering several netting sets (RC from BCBS 279 para 186, PFE from para 187, both checked against the March 2014 text).
static SaCcr.Result	SaCcr.unmargined(List<SaCcrTrade> trades, double collateralHeld)	EAD of an unmargined netting set.

Constructor parameters in com.quantfinlib.risk with type arguments of type SaCcrTrade

Modifier	Constructor	Description
	SubNettingSet(List<SaCcrTrade> trades, double collateralHeld, SaCcr.Margin margin)	Validates and copies the trade list.