CalcSimulatedExposure

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

Calculates a number of valuation adjustments including CVA, DVA,
FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For
the KVA calculation three regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM
and IMM. The probability of default is implied through the credit spreads curve.
The package supports an exposure calculation based on SA-CCR which includes several trade types
and a simulated path which is currently available only for IRSwaps. The latest regulatory capital charge methodologies
have been implementing including BA-CVA & SA-CVA.

Tasos Grivas

Calculates Credit Risk Valuation Adjustments

CalcSimulatedExposure function

<dl><dt>discount_factors</dt>
<dd>The discount curve derived from the spot curve</dd>
<dt>time_points</dt>
<dd>The timepoints that the analysis is performed on</dd>
<dt>spot_curve</dt>
<dd>The curve derived from interpolating the market spot rates</dd>
<dt>CSA</dt>
<dd>The margin agreement</dd>
<dt>trades</dt>
<dd>The list of the trade objects</dd>
<dt>sim_data</dt>
<dd>A list containing simulation-related data (model parameters and number of simulation)</dd>
<dt>framework</dt>
<dd>regulatory framework can be 'IMM','SACCR','CEM'</dd></dl>

Arguments

Tasos Grivas &lt;tasos@openriskcalculator.com&gt;

Author

Calculated the Simulated Exposure Profile — CalcSimulatedExposure

<dl>

<dt>discount_factors</dt>
<dd>The discount curve derived from the spot curve</dd>


<dt>time_points</dt>
<dd>The timepoints that the analysis is performed on</dd>


<dt>spot_curve</dt>
<dd>The curve derived from interpolating the market spot rates</dd>


<dt>CSA</dt>
<dd>The margin agreement</dd>


<dt>trades</dt>
<dd>The list of the trade objects</dd>


<dt>sim_data</dt>
<dd>A list containing simulation-related data (model parameters and number of simulation)</dd>


<dt>framework</dt>
<dd>regulatory framework can be 'IMM','SACCR','CEM'</dd>

</dl>

CalcSimulatedExposure: Calculated the Simulated Exposure Profile

Description

Usage

Value

Arguments

Author