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June 7, 2017 at 10:20 pm #6142
While I can see some advantages to this, it can get complicated, the schedule would have to match the coupon schedule of course and the
In the past we have normally avoided this issue by taking one of the following approaches:
1) Use the full vector of nationals, most trade capture systems will give you this.
2) Writing a small script (e.g. python) that will generate the notional vector from a set of rules like you have described.
Not sure how much that helps.