mikey10011
New Member
I thought that your illustration of expected exposure and worst exposure using an "interest rate swap" on Credit B slides 10 & 11 were terrific! Question: does this *parabolic* shape (i.e., par at terminal value) apply to say, the "off-market yen-US dollar currency swap" on page 128 of Canabarro & Duffie? If not what does it say about the maximum potential future exposure [your screencast comments on slide 14]?