Calculated the Simulated Exposure Profile

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Description

Calculates the simulated exposure profile (EE, NEE, PFE, EEE) by use of the Hull-White model. Two sets of results are provided: one after taking into account the marging agreement and one assuming that there is no marging agreement present

Usage

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CalcSimulatedExposure(discount_factors, time_points, spot_curve, col, trades,
  sim_data)

Arguments

discount_factors

The discount curve derived from the spot curve

time_points

The timepoints that the analysis is performed on

spot_curve

The curve derived from interpolating the market spot rates

col

The margin agreement

trades

The list of the trade objects

sim_data

A list containing simulation-related data (model parameters and number of simulation)

Value

A list containing the exposure profile (both collateralized and uncollateralized)

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>