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claculating Calculating PFE of a repo trade

What is the market practice to calculate PFE (Potential Future Exposure) of a repo trade? If we model the rate using Gaussian HJM (and calibrate it using swaptions) and use that in the simulation, that would only capture the rate volatility, but my understanding is that margin calculation is based on the volatility of the underlying collateral (bond). How can we bring the bond volatility into PFE calculation?

claculating PFE of a repo trade

What is the market practice to calculate PFE of a repo trade? If we model the rate using Gaussian HJM (and calibrate it using swaptions) and use that in the simulation, that would only capture the rate volatility, but my understanding is that margin calculation is based on the volatility of the underlying collateral (bond). How can we bring the bond volatility into PFE calculation?

Calculating PFE of a repo trade

What is the market practice to calculate PFE (Potential Future Exposure) of a repo trade? If we model the rate using Gaussian HJM (and calibrate it using swaptions) and use that in the simulation, that would only capture the rate volatility, but my understanding is that margin calculation is based on the volatility of the underlying collateral (bond). How can we bring the bond volatility into PFE calculation?

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claculating PFE of a repo trade

What is the market practice to calculate PFE of a repo trade? If we model the rate using Gaussian HJM (and calibrate it using swaptions) and use that in the simulation, that would only capture the rate volatility, but my understanding is that margin calculation is based on the volatility of the underlying collateral (bond). How can we bring the bond volatility into PFE calculation?