the Financial Math Calculator

Expected Exposure and Potential Euture Exposure for Swap

Posted by Gary Pai

Input:

Analytical solutions for a swap follow Counterparty credit risk and credit value adjustment by Jon Gregory

Keywords: Expected Exposure (EE), Potential Euture Exposure (PFE), Basel III, Counterparty Risk

• July 7, 2013 •

Methods Menu

Analytic Solutions
Monte Carlo methods
Numerical PDE Methods
Tree Methods
FFT Based Pricing Methods

Derivatives Markets

Stock Options
Including Exotic Options
Interest Rate Derivatives
Short Rate Model
Credit Derivatives
structural Models and Reduced Models

Image Gallery

Why this website?

This website, QuantCalc, offers varied financial math calculators, calibration methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, calibration and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

garypai314@gmail.com

Standard Deviation
Time to Maturity of Swap		Years
The time of future swap value		Years
Confidence Level

Output:
Expected Exposure (EE):

Potential Euture Exposure (PFE):