Create Pricer Measures for GC Repo

oasuncion / tradista

Tradista: the first open source Financial Risk Management Solution

Apache License 2.0

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Create Pricer Measures for GC Repo #111

Closed oasuncion closed 5 months ago

oasuncion commented 5 months ago

For the moment, there is no pricer measure available for GC Repo trades. Some measures could be of interest like the collateral Mark to Market or the exposure.

The aim of this ticket is to create 2 new Pricer measures for GC Repo:

the collateral Mark to Market
the exposure

oasuncion commented 5 months ago

Test ok