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Hi Mirov,

The ORE examples all preform a Risk-Neutral model calibration and thus the generated NPV distribution and PFE are indeed Risk-Neutral, this is the “traditional approach” from the above reference.

If you want to do a Real World calculation, and you are happy to use the RFE models in ORE, you can of course specify your own parameters directly (calibrated externally from historical data as you see fit, thus by-passing the Risk-Neutral calibration) and optionally disable mean reversion.


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