Counterparty Credit Risk Metrics

/* Expected exposure is the expected (average) credit exposure conditional on positive market values */
def expectedExposure(marketValues: Seq[Double]): Double = {
 val exposures = marketValues.filter(_ > 0f)
 if (exposures.size == 0) 0.0
 else exposures.sum / exposures.size
}

/* A high percentile (95%) of the distribution of exposures at any particular future date. Also called Peak Exposure (PE) */
def potentialFutureExposure(marketValues: Seq[Double], confidenceLevel: Double): Double = {
 val exposures = marketValues.filter(_ > 0)