Reply To: What’s the best way to generate Undiscounted PnL in a scenario ?

#6775
Israr Ahmed
Keymaster

Follow these steps :

(1) Create ZERO_LIBOR interest rate curves where the rates and zero and the Discount Factor is one. (set the delta sensitivity to non on the gridpoints). Do this for all the currencies required.

(2) In the simulation definition , Modify Targets , select the “Indexes” as the Target to Modify.

(3) Click on the “Mapping” radio button

(4) Click on the “Discount” radio button

(5) Map each LIBOR curve to equivalent ZERO_LIBOR curve.

This will ensure that deals will use the df =1 ZERO_LIBOR curves to discount the deals , giving Undiscounted PnL ( or any other result in this scenario ) .

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