The Difficulty of Converting Spread Capture to USD

Oliver: At first, we thought it would be very tough. But with Sasha and Philippe, we found a smart way to write the model that helped us a lot. It's somehow adding USD, I mean, normalizing or accounting in USD everywhere was really the trick that makes it. The fact of converting the spread capture to USD is something tricky. Oliver: There are several ways to deal with the curse of dimensionality usually. This is not what we did.