Co-author of 'Brazilian Derivatives and Securities: Pricing and Risk Management of Fx and Interest-rate Portfolios for Local and Global Markets'.
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March 17, 2014


P Fermat

In step 2 it should be subtract 1/2 instead of subtract 1, right?

Marcos Carreira

Yes, either multiply by 2 and subtract 1 or subtract 1/2 and multiply by 2; the notebook has the correct calculation.
Thanks for the comment, I'll edit the post.

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