Calculating PFE for IRS using HJM
6 mins read This post provides a step-by-step walkthrough for calculating PFE for IRS using HJM. Potential future credit exposure (PFE) measures counterparty
6 mins read This post provides a step-by-step walkthrough for calculating PFE for IRS using HJM. Potential future credit exposure (PFE) measures counterparty
13 mins read The conventional way for pricing interest rate swaps (IRS) [with quarterly settlements] is to discount the future cash flows of