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Discount Factor Hedge
Description |
Supervisory discount factor for hedge trade exposures |
Reference |
[MAR50.23] |
Notation |
DFiDFi, DFhDFh |
Formula |
DF=1−e−0.05⋅M0.05⋅M |
We recommend displaying hierarchy [TradePosition].[Trades] to display discount factors applied to exposures at default.
See also