ExampleIRDCommMargined.py

from Commodity import  *
from runExampleCalcs import *
from IRD import *
from CSA import *

#Tested to match R version

def ExampleIRDCommMargined():
    tr1 = Commodity(Notional=10000,MtM= -50,Si=0,Ei=0.75,BuySell='Buy',SubClass='Energy',commodity_type='Oil/Gas')
    tr2 = Commodity(Notional=20000,MtM= -30,Si=0,Ei=2,BuySell='Sell',SubClass='Energy',commodity_type='Oil/Gas')
    tr3 = Commodity(Notional=10000,MtM= 100,Si=0,Ei=5,BuySell='Buy',SubClass='Metals',commodity_type='Silver')
    tr4 = IRDSwap(Notional=10000,MtM=30,Currency="USD",Si=0,Ei=10,BuySell='Buy')
    tr5 = IRDSwap(Notional=10000,MtM=-20,Currency="USD",Si=0,Ei=4,BuySell='Sell')
    tr6 = 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,tr4,tr5,tr6]
    coll = CSA(thres_cpty = 0, MTA_cpty = 5, IM_cpty = 150, remargin_freq = 5)

    MF = coll.CalcMF()
    current_collateral = 200
    # calculating the add-on
    Addon_Aggregate = CalcAddon(trades, MF)
    # calculating the RC and the V-c amount
    rc_values = CalcRC(trades, coll, current_collateral)
    # calculating the PFE after multiplying the addon with a factor if V-C<0
    PFE = CalcPFE(rc_values['V_C'], Addon_Aggregate)
    # calculating the Exposure-at-Default
    EAD = CalcEAD(rc_values['RC'],PFE)
    return EAD


print(ExampleIRDCommMargined())