TimeProfile

An exposure (or any quantity) sampled on a time grid — the shape a netting-set XVA profile takes. Kept minimal here; XVA valuation on top of it is the rest of Phase 2.

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Record components

times: double[]
values: double[]

Methods

double epe()

Expected positive exposure: time-average of max(value, 0).

double ene()

Expected negative exposure: time-average of min(value, 0).

double peak()

double weightedIntegral(java.util.function.DoubleUnaryOperator weight)

Trapezoidal integral(discount(t) * max(value,0) * hazard(t) dt) — a CVA-style reduction.