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  • March 28, 2018 at 3:11 pm #6292
    Anonymous
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    Is there a way to configure example 14 so that the sensitivity calculation returns the same NPV for the base scenario as for the NPV calculation? I’ve tried making the tenors consistent in the sensitivity and simulation files, but the results still differ.
    I’ve also tried reproducing the scenario NPV in QuantLib but can’t find the combination of settings which give your answer.

    Thanks

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