Class ExposureProfile

java.lang.Object

com.quantfinlib.credit.ExposureProfile

public final class ExposureProfile
extends Object

Output of MultiCurrencyExposureSimulator: per exposure date, the profile statistics, and per path, the discounted exposures the wrong-way CVA in CvaApproximator needs.

Definitions (Gregory, The xVA Challenge, 3rd ed., 2015, ch. 7), with E(t) = max(V(t) - C(t), 0) the collateralised positive exposure, N(t) = max(C(t) - V(t), 0) the negative exposure and D(0,t) the simulated stochastic discount factor:

• discountedExpectedExposure(int) = E[D(0,t) E(t)], the quantity CVA integrates;
• expectedExposure(int) = E[D(0,t) E(t)] / P(0,t), the forward-measure EE; with deterministic rates it is plain E[E(t)];
• expectedNegativeExposure(int) likewise for N (reported as a positive number), the input to DVA;
• pfe(int, double): the q-quantile of the undiscounted E(t) across paths (lower empirical quantile);
• epe(): time average of EE over (0, t_m], each date's EE weighted by the length of the bucket it closes.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static enum	ExposureProfile.Factor	Market factor used as the wrong-way driver.

Method Summary

Modifier and Type	Method	Description
double	discountedExpectedExposure(int i)	E[D(0,t_i) E(t_i)].
double	discountedExpectedExposureStdError(int i)	Monte Carlo standard error of discountedExpectedExposure(int).
double	discountedExpectedNegativeExposure(int i)	E[D(0,t_i) N(t_i)], positive.
double	epe()	Time-weighted average of the forward-measure EE over (0, t_m].
double	expectedExposure(int i)	Forward-measure EE at date i: discounted EE over P(0, t_i).
double[]	expectedExposureCopy()	Copy of the forward-measure EE profile.
double	expectedNegativeExposure(int i)	Forward-measure ENE at date i, positive.
int	paths()	Number of simulated paths.
double	pfe(int i, double q)	Potential future exposure: the lower empirical q-quantile of E(t_i).
double	time(int i)	Exposure date i in years.
double[]	timesCopy()	Copy of the exposure dates.
int	timesLength()	Number of exposure dates.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

timesLength

public int timesLength()

Number of exposure dates.

time

public double time(int i)

Exposure date i in years.

timesCopy

public double[] timesCopy()

Copy of the exposure dates.

paths

public int paths()

Number of simulated paths.

discountedExpectedExposure

public double discountedExpectedExposure(int i)

E[D(0,t_i) E(t_i)].

discountedExpectedExposureStdError

public double discountedExpectedExposureStdError(int i)

Monte Carlo standard error of discountedExpectedExposure(int).

discountedExpectedNegativeExposure

public double discountedExpectedNegativeExposure(int i)

E[D(0,t_i) N(t_i)], positive.

expectedExposure

public double expectedExposure(int i)

Forward-measure EE at date i: discounted EE over P(0, t_i).

expectedNegativeExposure

public double expectedNegativeExposure(int i)

Forward-measure ENE at date i, positive.

expectedExposureCopy

public double[] expectedExposureCopy()

Copy of the forward-measure EE profile.

pfe

public double pfe(int i,
 double q)

Potential future exposure: the lower empirical q-quantile of E(t_i).

Parameters:

i - date index

q - quantile in (0, 1), e.g. 0.95 or 0.99

Returns:

PFE at date i

epe

public double epe()

Time-weighted average of the forward-measure EE over (0, t_m].