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Discount Factor Hedge
Description |
Supervisory discount factor for hedge trade exposures |
Reference |
[MAR50.23] |
Notation |
$DF_i$, $DF_h$ |
Formula |
$$DF = \dfrac{1-e^{-0.05\cdot M}}{0.05\cdot M}\\$$ |
We recommend displaying hierarchy [TradePosition].[Trades] to display discount factors applied to exposures at default.
See also