pfe

  1. R

    Gregory's Spreadsheet JG_XLS_8.4 (CCS swap)

    There is a correction in the spreadsheet: JG_XLS_8.4 (CCS swap) Example at time 0.025 PFE for CCS =SQRT(B17*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*SQRT(10-B17)*IRVol*FXVol) The square root term on the last term should be eliminated and thus the correct formula is...
  2. WhizzKidd

    Credit Exposure Profiles

    Hi @David Harper CFA FRM I am trying to understand the credit exposure profiles in Ch13. For an IRS (Pay Fix, Recieve Float): The scenario in the notes where i_fix>i_flt initially, then reverses afterward, as the yield curve slopes upwards. Why initially when I am paying net on the swap the...
  3. A

    Potential Future Exposure (PFE)

    Hi Guys, Does anyone know what's the formula and advice available to calculate derivatives "PFE" exposures? E.g. Monte Carlo...... Thanks!
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