CalcSimulatedExposure: Calculated the Simulated Exposure Profile
In xVA: Calculates Credit Risk Valuation Adjustments

View source: R/CalcSimulatedExposure.R

CalcSimulatedExposure

R Documentation

Calculated the Simulated Exposure Profile

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

CalcSimulatedExposure(
  discount_factors,
  time_points,
  spot_curve,
  CSA,
  trades,
  sim_data,
  framework
)

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
`CSA`	The margin agreement
`trades`	The list of the trade objects
`sim_data`	A list containing simulation-related data (model parameters and number of simulation)
`framework`	regulatory framework can be 'IMM','SACCR','CEM'