Expected Exposure of Swap under Vasicek model by Monte Carlo Method

Posted by Fred

Show inputs of the numerical Method

Number of time partitions per year
Simulation times
Risk free rate (r)%
Mean reversion
volatility (sigma)
Swap rate %
Tenor of swap year
Time for evaluate EE year
Number of premiums per year
Notional amountm
EE of Swap m

The calculation is based on Vasicek model (dr=a(b-r)dt+sigma*dw). By using Monte Carlo method we can calculate the value of the swap contract at given time, and then calculate the EE.

Tagged: Vasicek model, Credit Risk, Interest Rate Swap Calculator and Expected Exposure

 •  Sep 15, 2013  • 

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