Reply To: COMM-PHYS Index with Min-Max

#7940
Bistra Solakova
Participant

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

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