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Home / Reply To: Collateral Spread for COLVA

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#6185
rkapl
Participant

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