MtM PnL calcualtion of cargos should apply the forward rates of the corresponding months

2 votes

If Split cargo is ticked on trading profile PL calculations use the forward rates of the first month. We would expect that the market rate of the underlying period needs to be applied to calculate a correct MtM of a cargo.

Under consideration trading Suggested by: Holger Schwaerzler Upvoted: 05 Nov, '20 Comments: 0

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