Would like to know how the time value of a cap is handle in a MC Simul?
I have created a Matlab function for this but my simulation seems to match only the fair/instrinsic value of the pay off. Should have something to do with the distribution profile of the simulation.
Thank you for your time:
From pag. 27, Table 6: http://www.opengamma.com/sites/default/files/pricing-and-risk-management-credit-default-swaps-opengamma.pdf
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