An approximate PFE for a portfolio of trades.
Description
An approximate PFE for a portfolio of trades.
Example Sheet
PFE.xlsx
Arguments
- products (Product[])A list of products.
- valueDate (Date)The value date.
- forwardValueDates (Date[])The dates at which the expected positive exposure is required.
- requiredPecentiles (Double[])The required percentiles. 95th percentile should be entered as 0.95. Can be a list of percentiles and the PFE will be calculated at each of the provided levels.
- model (NumeraireSimulator)A model able to handle all the market observables required to calculate the cashflows in the portfolio.
- nSims (Int32)The number of simulations required.