## Expected Exposure of Swap under Vasicek model by Monte Carlo Method

Posted by Fred

Show inputs of the numerical Method

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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