FRTB Accelerator Cube GuideDifferentiationStepSize
| Description | Size of the step in numerical approximation calculation |
|---|---|
| Variations |
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Context value DifferentiationStepSize specifies the size of the step in numerical derivative approximation. This applies to the numerical Euler calculations only. The default value is close to 1E-8 (i.e. 10-8 or 0.00000001).