The product generates a suggested array of numeraires. If you use this, take
the first element, take rate time with that index, and compute the
discount factor
for that time.
////////////////////////////////////////////
> This behaviour is intentional. The initial numeraire value specifies the
> discount factor for the time at which the bond for the numeraire matures.
Pardon my asking: If I look e.g. at the initialNumeraireValue of the
PathwiseAccoutingEngine class, I am wondering what time I should use for
the maturity - especially if the product may mature earlier depending on
the path...
--
Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com
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