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If I have a “seasoned” swap in my portfolio (swap that went effective a year ago for example), how do I make sure that I include the floating leg reset dates for that swap when building the NPV cube? is there setting that I have missed?
Thanks,
SuhasHi Suhas,
ORE will handle seasoned swaps, any historical fixings have to be added like market data. For the NPV cube, these are just forward valuations, any fixings that are required are generated and applied as part of the monte-carlo simulation.
Regards,
Niall.
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