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, col, trades,
sim_data)The discount curve derived from the spot curve
The timepoints that the analysis is performed on
The curve derived from interpolating the market spot rates
The margin agreement
The list of the trade objects
A list containing simulation-related data (model parameters and number of simulation)
A list containing the exposure profile (both collateralized and uncollateralized)