Threshold for Historical Days

The Threshold for Historical Days logic in HM application compares the number of days into history (from when the Fair Value was taken) and a threshold value of days (provided in Application Preference) to determine the Fair Value Level - either Level 2 or Level 3. When the Fair Value of an instrument is identified as the close price a certain number of days before the As of Date and if this number is less than the threshold value, then the Fair Value is assigned Level 2. Otherwise, the Fair Value is assigned to Level 3.

For example, if the Threshold is set as 4 days and the Fair Value of an instrument is identified 5 days before the As of Date, then the Fair Value is assigned Level 3 since the threshold is lesser than the number of days into history (4is less than 5).