CCR/XVA Calculations

expected_exposure(
    scens::ScenarioCube,
    gross_leg::Bool = false,
    average_paths::Bool = true,
    aggregate_legs::Bool = true,
    )

Calculate expected positive exposure (EPE or EE).

scens is the input ScenarioCube.

If gross_leg is true then calculate positive floor on trade level. Otherwise, use netted portfolio to determine positive floor.

If average_paths is true then reduce scenario cube along path axis. Otherwise, keep individual paths.

If aggregate_legs is true then reduce scenario cube along the axis of legs. Otherwise, keep individual legs.

potential_future_exposure(
    scens::ScenarioCube,
    quantile_::ModelValue,
    gross_leg::Bool = false,
    )

Calculate the potential future exposure (PFE).

scens is the input ScenarioCube.

quantile_ is the desired quantile for PFE calculation.

If gross_leg is true then calculate positive floor on trade level. Otherwise, use netted portfolio to determine positive floor.

valuation_adjustment(
    credit_ts::CreditDefaultTermstructure,
    recovery_rate::ModelValue,
    cva_dva::ModelValue,
    scens::ScenarioCube,
    gross_leg::Bool = false,
    average_paths::Bool = true,
    aggregate_legs::Bool = true,
    rho::ModelValue = 0.5,
    )

Calculate unilateral CVA and DVA for a given ScenarioCube. Result is a ScenarioCube with non-negative XVA contributions along the time axis.

credit_ts is the credit spread curve to calculate survival probabilities. recovery_rate is the corresponding constant recovery rate value (typicall 0.40).

cva_dva is a binary flag to model CVA (+1.0) and DVA (-1.0).

scens is the input ScenarioCube. Values are assumed to be discounted prices in the corresponding portfolio currency.

Parameters gross_leg, average_paths and aggregate_legs are used as in function expected_exposure.

rho specifies how to integrate discounted prices. rho=0.5 uses trapezoidal rule. This choice is used in BCBS paper Basel III: A global regulatory framework for more resilient banks and banking systems (2011). rho=0.0 uses prices at the start of period and is proposed in Green, XVA (2016).