Timeline for EPE for interest rate swap
Current License: CC BY-SA 4.0
2 events
| when toggle format | what | by | license | comment | |
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| May 12, 2021 at 11:45 | comment | added | Johhn White | So for each path and each time step I have to discount all future cash flows to that time and then If I want to calculate EPE for a given time step I have to calculate average of positive parts over all trajectories? In this case I dont see what is the role of LSM. At maturity $T$ EPE is just an average of all positive cash flows at this time or just zero? I.e we calculate exposure immidiately after payment at a given time or before this payment so we should include it in our calculations? | |
| May 12, 2021 at 8:55 | history | answered | Felix | CC BY-SA 4.0 |