Well it's a while since i looked at this code. The hedge and the
product should be matched, so that at the first time of exercise we
should get zero. If it's not zero then the code is buggy.
Your analysis is probably correct. This stuff gets fiddly -- we made
sure it works in the obvious cases but it may not do in more subtle
ones.
best
mark
--
Quant Job Interview Questions and Answers is now out: www.markjoshi.com
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com
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