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April 12, 2018 at 12:34 pm
#6295
Inactive
Hi Peter!
OK, after adding the MeanReversion parameter (0.0) and changing Policy to “RateBound” (in the example was “RateBounds”), the LinearTSRPricer values AND simulates the example CMS trade. Next I’m trying to get the xva results.
-regards,
Roland