View source: R/CalcSimulatedExposure.R
CalcSimulatedExposure | R Documentation |
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
CalcSimulatedExposure( discount_factors, time_points, spot_curve, CSA, trades, sim_data, framework )
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' |
A list containing the exposure profile (both collateralized and uncollateralized)
Tasos Grivas <tasos@openriskcalculator.com>
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