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Cashflow measures represent the projected future cashflows of trades at each time point. Gross and collateralized exposure add the cumulative cashflow to the MtF sum. Understanding exposure measures is a prerequisite for this page.

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What is a simulated cashflow?

A cashflow is a payment that a trade is expected to make or receive between the current time point and the next. When the cumulative cashflow is included in the exposure calculation, it shifts the mark-to-market used for exposure aggregation.

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Does the PFE cube apply projected cashflows?

The PFE cube does not apply projected cashflows. The cashflow measures exist and read zero for every trade and time point, so gross exposure is the MtF sum alone.

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How is the SimulatedCashflow measure computed?

The SimulatedCashflow measure (plugin key: SimulatedCashflow) returns the cashflow vector of a trade at a time point, with one value per scenario. The aggregated variant sums the cashflow vectors across all trades in scope. The non-aggregated variant returns the cashflow of a single trade.

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How do cashflows enter the exposure measures?

The gross and collateralized measure families use the SimulatedCashflow measure as their cumulative cashflow input. The base gross exposure measures expose:
  • cumulativeCashflow(): the aggregated cumulative cashflow vector.
  • cumulativeCashflowScenarioLevel(): its scenario-level expansion.