Reply To: COMM-PHYS Index with Min-Max

Bistra Solakova

Hi Tom, we have the exact same setup but we still get the negative NPV. Have you tried with a forward price which is far below the collar. In our tests, near or in the collar works as expected. As soon the forward price is significantly below the floor, we get the unexpected behavior. Can you check the same example with a higher floor, in your screenshots, say Floor = 80 and Cap =100

Download PDF version

This field is for validation purposes and should be left unchanged.