CalcSimulatedExposure: Calculated the Simulated Exposure Profile

In xvacode/xVA: Calculates Credit Risk Valuation Adjustments

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'

Value

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

Author(s)

Tasos Grivas <[e-mail]>

xvacode/xVA documentation built on Oct. 23, 2022, 10:20 a.m.