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From: <tl...@uc...> - 2024-04-30 21:29:37
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I'm valuing some NDIRS for CLP and CNY and I'm getting some swaps where the values are wildly off by many orders of magnitude. Breaking it down, even before I introduce the FX issue, I'm seeing the local currency swap NPV is blowing up and I'm wondering if this is a function of the complex coupon calculation. Does anyone have experience with CLP, CNY, and other NDIRS currencies? |