An approximate PFE for a portfolio of trades.
Description
An approximate PFE for a portfolio of trades.
Example Sheet
PFE.xlsx
Arguments
- products A list of products.
- valueDate The value date.(Date)
- forwardValueDates The dates at which the expected positive exposure is required.(Date)
- requiredPecentiles 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 A model able to handle all the market observables required to calculate the cashflows in the portfolio.
- nSims The number of simulations required.