Custom collateral balance at t=0

[marekkolman]

Is it possible to add a custom value for collateral balance at t = 0?

The only option I see now is through the fullInitialCollateralisation boolean which leads to either collateral = NPV or collateral = 0 . But this is way too limiting and it will lead to unrealistic time-zero exposures.

[nvolfango]

Hi Marek,

It is not possible at the moment. I have opened an internal ticket to put this into consideration. We have other capital calculation services for which we use a custom t0 collateral balance through XML input, so we might plan to incorporate that into XVA.

Regards, Nathaniel