ABSTRACT
It is possible to plot the total portfolio value for each simulation scenario. Each scenario moves forward in time; therefore, the value of the contracts will increase or decrease according to changes in the modelled interest rate term structure. As the swaps get closer to maturity, their value will begin to approach zero because the aggregate value of all remaining cash flows will decrease after each cash flow date. The beam of total exposures indicates clearly whether there is swelling in the central section that corresponds to the curves generated by grid 1, characterised by an increased density in the central part of the date axis. Another interesting element is the swelling of the beam of exposure generated in grid 2 towards the end of the date axis. The areas with an increased density of dates have a swelling in the curves of the simulation graph. The section with more peaks corresponds to the section where the grid is denser.
