16.1.4.1 Dynamic Accrued Present Value Calculation

The input of the VaR Period is required. For example, Users can have a VaR Period of 7 Days.

1. The engine would use VaR Period as Tenor and would fetch Discount Rate for this Tenor. Say VaR Period is 7 D, the engine would calculate Discount Rate for 7 D Period. Similar logic is used to calculate discount factors.
2. For ‘ith’ Rate Path Engine would derive the Discount Factor specific to that rate path.
3. Dynamic Accrued Present Value for ith rate path for mth product leaf would be calculated as = Present Value of mth product leaf for ith rate path /Discount Factor for ith rate path.