-
Figure 2
-
Vanilla Swap 1Y Tests
-
Aggressive Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- VanillaSwap.Aggressive.Curve.plt
- VanillaSwap.Aggressive.ExposureProfile.csv
- VanillaSwap.Aggressive.Surface.plt
- VanillaSwap.Classical7bdMinus.Curve.plt
- VanillaSwap.Classical7bdMinus.ExposureProfile.csv
- VanillaSwap.Classical7bdMinus.Surface.plt
- VanillaSwap.Classical7bdPlus.Curve.plt
- VanillaSwap.Classical7bdPlus.ExposureProfile.csv
- VanillaSwap.Classical7bdPlus.Surface.plt
- VanillaSwap.Uncollateralized.Curve.plt
- VanillaSwap.Uncollateralized.ExposureProfile.csv
- VanillaSwap.Uncollateralized.Surface.plt
-
Standard
-
Classical Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- VanillaSwap.Classical10bdMinus.Curve.plt
- VanillaSwap.Classical10bdMinus.ExposureProfile.csv
- VanillaSwap.Classical10bdMinus.Surface.plt
- VanillaSwap.Classical10bdPlus.Curve.plt
- VanillaSwap.Classical10bdPlus.ExposureProfile.csv
- VanillaSwap.Classical10bdPlus.Surface.plt
- VanillaSwap.Uncollateralized.Curve.plt
- VanillaSwap.Uncollateralized.ExposureProfile.csv
- VanillaSwap.Uncollateralized.Surface.plt
-
Standard
-
Conservative Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- VanillaSwap.Classical15bdMinus.Curve.plt
- VanillaSwap.Classical15bdMinus.ExposureProfile.csv
- VanillaSwap.Classical15bdMinus.Surface.plt
- VanillaSwap.Classical15bdPlus.Curve.plt
- VanillaSwap.Classical15bdPlus.ExposureProfile.csv
- VanillaSwap.Classical15bdPlus.Surface.plt
- VanillaSwap.Conservative.Curve.plt
- VanillaSwap.Conservative.ExposureProfile.csv
- VanillaSwap.Conservative.Surface.plt
- VanillaSwap.Uncollateralized.Curve.plt
- VanillaSwap.Uncollateralized.ExposureProfile.csv
- VanillaSwap.Uncollateralized.Surface.plt
-
Standard
-
Aggressive Calibration Test
- VanillaSwap1yTests.cs
-
Vanilla Swap 1Y Tests
-
Figure 4
-
Vanilla Swap 10Y Tests
-
Aggressive Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- VanillaSwap.Aggressive.Curve.plt
- VanillaSwap.Aggressive.ExposureProfile.csv
- VanillaSwap.Aggressive.Surface.plt
- VanillaSwap.Classical7bdMinus.Curve.plt
- VanillaSwap.Classical7bdMinus.ExposureProfile.csv
- VanillaSwap.Classical7bdMinus.Surface.plt
- VanillaSwap.Classical7bdPlus.Curve.plt
- VanillaSwap.Classical7bdPlus.ExposureProfile.csv
- VanillaSwap.Classical7bdPlus.Surface.plt
- VanillaSwap.Uncollateralized.Curve.plt
- VanillaSwap.Uncollateralized.ExposureProfile.csv
- VanillaSwap.Uncollateralized.Surface.plt
-
Standard
-
Conservative Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- VanillaSwap.Classical15bdMinus.Curve.plt
- VanillaSwap.Classical15bdMinus.ExposureProfile.csv
- VanillaSwap.Classical15bdMinus.Surface.plt
- VanillaSwap.Classical15bdPlus.Curve.plt
- VanillaSwap.Classical15bdPlus.ExposureProfile.csv
- VanillaSwap.Classical15bdPlus.Surface.plt
- VanillaSwap.Conservative.Curve.plt
- VanillaSwap.Conservative.ExposureProfile.csv
- VanillaSwap.Conservative.Surface.plt
- VanillaSwap.Uncollateralized.Curve.plt
- VanillaSwap.Uncollateralized.ExposureProfile.csv
- VanillaSwap.Uncollateralized.Surface.plt
-
Standard
-
Aggressive Calibration Test
- VanillaSwap10yTests.cs
-
Vanilla Swap 10Y Tests
-
Figure 5
-
Xccy Swap 10Y Tests
-
Aggressive Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- XccySwap.Aggressive.Curve.plt
- XccySwap.Aggressive.ExposureProfile.csv
- XccySwap.Aggressive.Surface.plt
- XccySwap.Classical7bdMinus.Curve.plt
- XccySwap.Classical7bdMinus.ExposureProfile.csv
- XccySwap.Classical7bdMinus.Surface.plt
- XccySwap.Classical7bdPlus.Curve.plt
- XccySwap.Classical7bdPlus.ExposureProfile.csv
- XccySwap.Classical7bdPlus.Surface.plt
- XccySwap.Uncollateralized.Curve.plt
- XccySwap.Uncollateralized.ExposureProfile.csv
- XccySwap.Uncollateralized.Surface.plt
-
Standard
-
Conservative Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- XccySwap.Classical15bdMinus.Curve.plt
- XccySwap.Classical15bdMinus.ExposureProfile.csv
- XccySwap.Classical15bdMinus.Surface.plt
- XccySwap.Classical15bdPlus.Curve.plt
- XccySwap.Classical15bdPlus.ExposureProfile.csv
- XccySwap.Classical15bdPlus.Surface.plt
- XccySwap.Conservative.Curve.plt
- XccySwap.Conservative.ExposureProfile.csv
- XccySwap.Conservative.Surface.plt
- XccySwap.Uncollateralized.Curve.plt
- XccySwap.Uncollateralized.ExposureProfile.csv
- XccySwap.Uncollateralized.Surface.plt
-
Standard
-
Aggressive Calibration Test
- XccySwap10yTests.cs
-
Xccy Swap 10Y Tests
-
Figure 6
-
Vanilla Swap Portfolio Tests
-
Aggressive Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- VanillaSwapPortfolio.Aggressive.Curve.plt
- VanillaSwapPortfolio.Aggressive.ExposureProfile.csv
- VanillaSwapPortfolio.Aggressive.Surface.plt
- VanillaSwapPortfolio.Classical7bdMinus.Curve.plt
- VanillaSwapPortfolio.Classical7bdMinus.ExposureProfile.csv
- VanillaSwapPortfolio.Classical7bdMinus.Surface.plt
- VanillaSwapPortfolio.Classical7bdPlus.Curve.plt
- VanillaSwapPortfolio.Classical7bdPlus.ExposureProfile.csv
- VanillaSwapPortfolio.Classical7bdPlus.Surface.plt
- VanillaSwapPortfolio.Uncollateralized.Curve.plt
- VanillaSwapPortfolio.Uncollateralized.ExposureProfile.csv
- VanillaSwapPortfolio.Uncollateralized.Surface.plt
-
Standard
-
Conservative Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- VanillaSwapPortfolio.Classical15bdMinus.Curve.plt
- VanillaSwapPortfolio.Classical15bdMinus.ExposureProfile.csv
- VanillaSwapPortfolio.Classical15bdMinus.Surface.plt
- VanillaSwapPortfolio.Classical15bdPlus.Curve.plt
- VanillaSwapPortfolio.Classical15bdPlus.ExposureProfile.csv
- VanillaSwapPortfolio.Classical15bdPlus.Surface.plt
- VanillaSwapPortfolio.Conservative.Curve.plt
- VanillaSwapPortfolio.Conservative.ExposureProfile.csv
- VanillaSwapPortfolio.Conservative.Surface.plt
- VanillaSwapPortfolio.Uncollateralized.Curve.plt
- VanillaSwapPortfolio.Uncollateralized.ExposureProfile.csv
- VanillaSwapPortfolio.Uncollateralized.Surface.plt
-
Standard
-
Aggressive Calibration Test
- VanillaSwapPortfolioTests.cs
-
Vanilla Swap Portfolio Tests
-
Figure 7
-
Xccy Swap Portfolio Tests
-
Aggressive Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- XccySwapPortfolio.Aggressive.Curve.plt
- XccySwapPortfolio.Aggressive.ExposureProfile.csv
- XccySwapPortfolio.Aggressive.Surface.plt
- XccySwapPortfolio.Classical7bdMinus.Curve.plt
- XccySwapPortfolio.Classical7bdMinus.ExposureProfile.csv
- XccySwapPortfolio.Classical7bdMinus.Surface.plt
- XccySwapPortfolio.Classical7bdPlus.Curve.plt
- XccySwapPortfolio.Classical7bdPlus.ExposureProfile.csv
- XccySwapPortfolio.Classical7bdPlus.Surface.plt
- XccySwapPortfolio.Uncollateralized.Curve.plt
- XccySwapPortfolio.Uncollateralized.ExposureProfile.csv
- XccySwapPortfolio.Uncollateralized.Surface.plt
-
Standard
-
Conservative Calibration Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- XccySwapPortfolio.Classical15bdMinus.Curve.plt
- XccySwapPortfolio.Classical15bdMinus.ExposureProfile.csv
- XccySwapPortfolio.Classical15bdMinus.Surface.plt
- XccySwapPortfolio.Classical15bdPlus.Curve.plt
- XccySwapPortfolio.Classical15bdPlus.ExposureProfile.csv
- XccySwapPortfolio.Classical15bdPlus.Surface.plt
- XccySwapPortfolio.Conservative.Curve.plt
- XccySwapPortfolio.Conservative.ExposureProfile.csv
- XccySwapPortfolio.Conservative.Surface.plt
- XccySwapPortfolio.Uncollateralized.Curve.plt
- XccySwapPortfolio.Uncollateralized.ExposureProfile.csv
- XccySwapPortfolio.Uncollateralized.Surface.plt
-
Standard
-
Aggressive Calibration Test
- XccySwapPortfolioTests.cs
-
Xccy Swap Portfolio Tests
-
Figure 9
-
Vanilla Swap 1Y Tests
-
Conservative Aligned Test
-
Standard
- All.Curve.plt
- CVA.csv
- VanillaSwap.Conservative.BrownianBridge.Curve.plt
- VanillaSwap.Conservative.BrownianBridge.ExposureProfile.csv
- VanillaSwap.Conservative.BrownianBridge.Surface.plt
- VanillaSwap.Conservative.Curve.plt
- VanillaSwap.Conservative.ExposureProfile.csv
- VanillaSwap.Conservative.Surface.plt
- VanillaSwap.Uncollateralized.BrownianBridge.Interpolated.Surface.plt
- VanillaSwap.Uncollateralized.BrownianBridge.NormalVol.Surface.plt
- VanillaSwap.Uncollateralized.BrownianBridge.Surface.plt
-
Standard
-
Conservative Non Aligned Test
-
Standard
- All.Curve.plt
- CVA.csv
- VanillaSwap.Conservative.BrownianBridge.Curve.plt
- VanillaSwap.Conservative.BrownianBridge.ExposureProfile.csv
- VanillaSwap.Conservative.BrownianBridge.Surface.plt
- VanillaSwap.Conservative.Curve.plt
- VanillaSwap.Conservative.ExposureProfile.csv
- VanillaSwap.Conservative.Surface.plt
- VanillaSwap.Uncollateralized.BrownianBridge.Interpolated.Surface.plt
- VanillaSwap.Uncollateralized.BrownianBridge.NormalVol.Surface.plt
- VanillaSwap.Uncollateralized.BrownianBridge.Surface.plt
-
Standard
-
Conservative Aligned Test
- VanillaSwap1yTests.cs
-
Vanilla Swap 1Y Tests
-
Figure 10
-
Vanilla Swap 10Y Tests
-
Conservative Initial Margin Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- VanillaSwap.Conservative.Curve.plt
- VanillaSwap.Conservative.ExposureProfile.csv
- VanillaSwap.Conservative.Surface.plt
- VanillaSwap.Conservative.WithInitialMargin.Curve.plt
- VanillaSwap.Conservative.WithInitialMargin.ExposureProfile.csv
- VanillaSwap.Conservative.WithInitialMargin.Surface.plt
- VanillaSwap.Uncollateralized.InitialMargin.NormalVol.Surface.plt
- VanillaSwap.Uncollateralized.InitialMargin.Surface.plt
-
Standard
-
Conservative Initial Margin Test
- VanillaSwap10yTests.cs
-
Vanilla Swap 10Y Tests
-
Figure 11
-
Vanilla Swap Portfolio Tests
-
Conservative Initial Margin Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- VanillaSwapPortfolio.Conservative.Curve.plt
- VanillaSwapPortfolio.Conservative.ExposureProfile.csv
- VanillaSwapPortfolio.Conservative.Surface.plt
- VanillaSwapPortfolio.Conservative.WithInitialMargin.Curve.plt
- VanillaSwapPortfolio.Conservative.WithInitialMargin.ExposureProfile.csv
- VanillaSwapPortfolio.Conservative.WithInitialMargin.Surface.plt
- VanillaSwapPortfolio.Uncollateralized.InitialMargin.NormalVol.Surface.plt
- VanillaSwapPortfolio.Uncollateralized.InitialMargin.Surface.plt
-
Standard
-
Conservative Initial Margin Test
-
Xccy Swap Portfolio Tests
-
Conservative Initial Margin Test
-
Standard
- All.Curve.plt
- CVA.csv
- Log.txt
- XccySwapPortfolio.Conservative.Curve.plt
- XccySwapPortfolio.Conservative.ExposureProfile.csv
- XccySwapPortfolio.Conservative.Surface.plt
- XccySwapPortfolio.Conservative.WithInitialMargin.Curve.plt
- XccySwapPortfolio.Conservative.WithInitialMargin.ExposureProfile.csv
- XccySwapPortfolio.Conservative.WithInitialMargin.Surface.plt
- XccySwapPortfolio.Uncollateralized.InitialMargin.NormalVol.Surface.plt
- XccySwapPortfolio.Uncollateralized.InitialMargin.Surface.plt
-
Standard
-
Conservative Initial Margin Test
- VanillaSwapPortfolioTests.cs
- XccySwapPortfolioTests.cs
-
Vanilla Swap Portfolio Tests
Trade
USD10MM 10-year USD-EUR cross-currency payer swap, fixed 3% EUR semi-annual coupon against a quarterly USD floating rate with 15mm USD notional and 10mm EUR notional.
Model
Scenarios computed by uncorrelated Hull-White models for the interest rates, with the initial USD and EUR yield curves flat at 2% and 1%, respectively, Gaussian (basis point) volatilities of 1%, and mean reversion speeds of 5%. The exchange rate is log-normal, with USD/EUR spot at 1.2 and a constant FX diffusion volatility of 10%.
Note: as the FX rate has random drift (due to the volatility of the USD and EUR interest rates), the implied FX volatility is, of course, larger than the diffusion volatility.
Exposure
Expected exposures are computed by brute-force daily simulation using Conservative and Aggressive calibrations. The margin agreement uses daily margin transfers, no thresholds, and no MTA/rounding.