Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

How do you calculate the Potential Future Exposure (PFE) for a swaption?

Do you incorporate the dynamics of implied volatility when you are running your simulations?

Is there a standard way to model the real-world joint dynamics of rates and volatilitiess?

share|improve this question
1  
What do you mean by PFE? Please be specific and include links for definitions if possible. – SRKX Nov 22 '12 at 14:39
    
By PFE I mean potential future exposure. pls see eg. en.wikipedia.org/wiki/Potential_future_exposure – juinisoi78 Nov 22 '12 at 21:53

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.