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#6171
Roland Lichters
Keymaster

Hi Roland,

apologies for the delay, but you have answered it already.

I just want to point you to a configuration option that introduces a change of measure and therefore affects the scenario dump output. Example section 4.13 in the ORE user guide illustrates it- parameter “ShiftHorizon” in the simulation model configuration (when set to a time larger than 0) changes measure from the LGM measure to the Hull-White T-Forward measure which has quite a significant effect in long-term simulations, see figure 20.

Regards,
Roland