www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ViewContractValuesandExposuresOverTimeforaParticularCounExample.m

    %% View Contract Values and Exposures Over Time for a Particular Counterparty  

% Copyright 2015 The MathWorks, Inc.


%% 
% After computing the mark-to-market contract values for a portfolio of
% swaps over many scenarios, compute the credit exposure for
% a particular counterparty. View the contract values and credit exposure
% over time. First, load data containing the mark-to-market contract values for a portfolio of swaps over many scenarios.
load ccr.mat
% Look at one counterparty.
cpID = 4;
cpValues = squeeze(sum(values(:,swaps.Counterparty == cpID,:),2));
subplot(2,1,1)
plot(simulationDates,cpValues);
title(sprintf('Mark-to-Market Contract Values for Counterparty: %d',cpID));
datetick('x','mmmyy')
ylabel('Portfolio Value ($)')
% Compute the exposure by counterparty.
[exposures, expcpty] = creditexposures(values,swaps.Counterparty,...
'NettingID',swaps.NettingID);
% View the credit exposure over time for the counterparty.
subplot(2,1,2)
cpIdx = find(expcpty == cpID);
plot(simulationDates,squeeze(exposures(:,cpIdx,:)));
title(sprintf('Exposure for counterparty: %d',cpIdx));
datetick('x','mmmyy')
ylabel('Exposure ($)')
xlabel('Simulation Dates')