CalcSimulatedExposure: 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, col, trades, sim_data)
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
trades
The list of the trade objects
sim_data
A list containing simulation-related data (model parameters and number of simulation)
Value
A list containing the exposure profile (both collateralized and uncollateralized)