6.1.3 Computation of Forward Time Buckets
Once the forward dates are identified for a given Run, the time buckets are computed for each of those forward dates based on the user specified time bucket definition. Time buckets are defined in terms of days and are independent of dates. In case of forward date calculations, the application computes the forward starting time buckets for each future date for which forward liquidity calculations are to be carried out. The time bucket start and end dates are calculated for each forward starting time bucket for each forward date and the forward cash flows are bucketed appropriately taking into account the business day convention.
The process of calculating time bucket start and end dates for current date and each forward date is illustrated below:
Table 5-3 Computation of Forward Time Buckets
| Time Bucket Definition | Current Date | Forward Dates | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 30-Jan-15 | 31-Jan-15 | 28-Feb-15 | 31-Mar-15 | ||||||
| Time Buckets | Frequency (in Days) | Time Bucket Start Date | Time Bucket End Date | Time Bucket Start Date | Time Bucket End Date | Time Bucket Start Date | Time Bucket End Date | Time Bucket Start Date | Time Bucket End Date |
| Open Maturity | |||||||||
| Overnight | |||||||||
| 1-1 Day | 1 | 31-Jan-15 | 31-Jan-15 | 1-Feb-15 | 1-Feb-15 | 1-Mar-15 | 1-Mar-15 | 1-Apr-15 | 1-Apr-15 |
| 2-2 Day | 1 | 1-Feb-15 | 1-Feb-15 | 2-Feb-15 | 2-Feb-15 | 2-Mar-15 | 2-Mar-15 | 2-Apr-15 | 2-Apr-15 |
| 3-3 Day | 1 | 2-Feb-15 | 2-Feb-15 | 3-Feb-15 | 3-Feb-15 | 3-Mar-15 | 3-Mar-15 | 3-Apr-15 | 3-Apr-15 |
| 4-4 Day | 1 | 3-Feb-15 | 3-Feb-15 | 4-Feb-15 | 4-Feb-15 | 4-Mar-15 | 4-Mar-15 | 4-Apr-15 | 4-Apr-15 |
| 5-5 Day | 1 | 4-Feb-15 | 4-Feb-15 | 5-Feb-15 | 5-Feb-15 | 5-Mar-15 | 5-Mar-15 | 5-Apr-15 | 5-Apr-15 |
| 6-6- Day | 1 | 5-Feb-15 | 5-Feb-15 | 6-Feb-15 | 6-Feb-15 | 6-Mar-15 | 6-Mar-15 | 6-Apr-15 | 6-Apr-15 |
| 7-7 Day | 1 | 6-Feb-15 | 6-Feb-15 | 7-Feb-15 | 7-Feb-15 | 7-Mar-15 | 7-Mar-15 | 7-Apr-15 | 7-Apr-15 |
| 8-8 Day | 1 | 7-Feb-15 | 7-Feb-15 | 8-Feb-15 | 8-Feb-15 | 8-Mar-15 | 8-Mar-15 | 8-Apr-15 | 8-Apr-15 |
| 9-9 Day | 1 | 8-Feb-15 | 8-Feb-15 | 9-Feb-15 | 9-Feb-15 | 9-Mar-15 | 9-Mar-15 | 9-Apr-15 | 9-Apr-15 |
| 10-10 Day | 1 | 9-Feb-15 | 9-Feb-15 | 10-Feb-15 | 10-Feb-15 | 10-Mar-15 | 10-Mar-15 | 10-Apr-15 | 10-Apr-15 |
| Unspecified | |||||||||