FRTB Accelerator Reference Guide v2.4.0DifferentiationStepSize
| Description | Size of the step in numerical approximation calculation |
|---|---|
| Variations |
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).