Calculate the expected positive exposure for a general portfolio.

Description

Calculate the expected positive exposure for a general portfolio

Example Sheet

EPE.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.
  • 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.