Module counterparty
Expand description
Counterparties: the static whose credit support annex decides which curve discounts a trade, and the master a market carries by choice.
A desk books against a counterparty, and the counterparty’s CSA says what
collateral its trades post. A USD swap facing a bank under a EUR CSA
discounts on discount(USD-CSA-EUR); the same swap facing a cleared house
on discount(USD). The counterparty carries exactly that: an acronym and a
CsaSpec. Nothing a pricing path does not read is carried — a rating or
a parent would be a field no verb consults.
Structs§
- Counterparties
- An acronym-keyed master of counterparties, in acronym order.
- Counterparty
- A trading counterparty: its acronym and the CSA governing its trades.