September 19th, 2006, 8:20 pm
1) Any chance that when you reverse the Monte Carlo, you are subtracting the market movements in a way that isn't an exact reverse of the forward simulation? 2) Could the simulation be creating a skewed distribution of outcomes so that when you substitute a fixed FV for the forward sim's FV distribution, the reverse sim skews the data in the other way and biases the coupons?3) You mention that the forward = the reverse for FV=100 and departs otherwise. If so are you normalizing some part of the calculation but not normalizing all the facets of the sim that need to be normalized?