Market Risk Accelerator Reference Guide v1.9.1DayToDayDifference
| Description | Comparison date to be used for the DtD measures |
|---|
The “DayToDayDifference” context value allows a user to set a specific comparison date for the DtD measures by selecting it from a drop down list.
On the first screenshot, the “DayToDayDifference” context value is not set, and the DtD measures compute the difference with the previous date.
On the second screenshot, the “DayToDayDifference” context value is set to 2018-09-27, which makes the DtD measures compare with the VaR as of 2018-09-27.
