Repository navigation
Deferral Nominal and Economic Basis Driver #379
Description
Deferral Nominal are too sensitive to the input structure.
- move the current implementation to the appropriate project
- use discounted deferral also for nominal calculation (Rename)
- consider having the EconomicBasisDriver default value for LRA PAA set to L
- OCI (to be looked into)
Activity
[-]Deferral Nominal[/-][+]Deferral Nominal and Economic Basis Driver[/+]dcolleoni commentedon Sep 16, 2023
The OCI looks into the effect of the yield curve (locked-in vs current). If this parameter is missing from the inputs, it doesn’t find the locked-in (calculated as zero) and the delta is shown.