Calculate the expected posiitive exposure for a general portfolio.

Description

Calculate the expected posiitive exposure for a general portfolio

Example Sheet

EPE.xlsx

Arguments

  • products A list of products.
  • valueDate The value date.(Date)
  • forwardValueDates The dates at which the expected positive exposure is required.(Date)
  • model A model able to handle all the market observables required to calculate the cashflows in the portfolio.
  • nSims The number of simulations required.