Message from Alexandre

The initial value to be booked in the BS is the mark-to-market (based on black and scholes model if price not available in the street) whatever the way you pay the premium (up front or running). At the following closing date, you shall recognise the new mark-to-market in front of the BS. The difference between the two M2M is booked in PnL. (If the initial premium is not payed up front, a receivable has to be recognised).