Reply To: Delta by Reset

Steve Parsons

I believe OPENLINK were looking at specifying some kind of custom result for Repsol to do this. I’ve also come across this requirement in an LNG APM context and never come up with a good solution. As you say, when formula pricing comes into play all simple methods go out of the window. I hadn’t thought of the walk forward possibility, but it might be the only way to do it with properly, although performance will suck. Please keep me in the loop if you come up with something.

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