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7 posts
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Hi,
Can someone please explain to me what is going on in the three last line of code in Matthias Gronckis blog post about cva/exposure for bermudan swaptions? I am confused about how he is handling the numeraire.
# Apply payoff function
npv[npv < 0] = 0
# Deflate NPV
npv = npv / numeraires[:,-1]
npv = np.mean(npv) * numeraires[0,0]
Why does he need to deflate the NPV? And what does the syntax numeraires[:,-1] do? I am programming something similar in C++, so I would really appreciate a few comments about this.
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Locked
May 30, 2015; 11:49am
