Fundamental pricing question regarding Numeraires

Posted by vgdev on
URL: http://quantlib.414.s1.nabble.com/Fundamental-pricing-question-regarding-Numeraires-tp16606.html

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.