Gross JTD

The Gross JTD measure is defined in [MAR22.9] - [MAR22.14].

It may either be defined directly in the input files or calculated from Notional, Market Value, and LGD values. If sa.drc.adjustment.apply=true, then an adjustment is added to the Gross JTD.

Whichever method is used, the values are first converted to the display currency using the IFxRates API (supplied by the reference implmentation). After this currency conversion, the values are aggregated for each Risk Factor.

If the configuration parameter sa.drc.strict-long-short=true is set, then the Gross JTD is floored/capped at 0 (according to the direction long/short) at the risk-factor level [MAR22.10].