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February 26, 2018 at 3:39 pm
#6287
Peter Caspers
Keymaster
Hi FiveEights,
thank you. I agree we should add a section to the user guide explaining all this in more detail and with examples.
It is correct that we do not have stocks in ORE. For the purpose of valuation, sensitivity and VaR calculation it seems sensible though to use forwards (with maturity = reference date) instead.
Best Regards
Peter