CalcSimulatedExposure {xVA}

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]>