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July 27, 2017 at 10:16 am
#6185
Anonymous
Inactive
Something like the following could be added right before the usage of the collateralSpread_:
collateralSpread_ = (balance >= 0.0 ? netting->collatSpreadRcv : netting->collatSpreadPay);
Real colvaDelta = -balance * collateralSpread_ * dcf / samples;
-regards,
Roland