R/GenerateTimeGrid.R

In xVA: Calculates Credit Risk Valuation Adjustments

GenerateTimeGrid = function(CSA, maturity)
{
remargin_freq_annum = CSA$remargin_freq/360
mpor_days_annum = CSA$mpor_days/360
time_points = seq(0,maturity,remargin_freq_annum)
time_points_lookback = seq(remargin_freq_annum-mpor_days_annum,maturity-mpor_days_annum,remargin_freq_annum)

time_points = sort(c(time_points_lookback,time_points))

return(time_points)

}