Article 29 4.
The notional amount of interest rate contracts and credit derivative contracts for the time to maturity (in years) of those contracts shall be adjusted according to the duration set out in the following formula: Duration = (1 – exp(–0,05 • time to maturity)) / 0,05 For derivative contracts other than interest rate contracts and credit derivative contracts the duration shall be 1.
1. Przegląd
1.1 Odwołania
1.2 Zidentyfikowane wymagania
1.3 Powiązane normy
2. Zidentyfikowane wymagania
Wymagania
| Źródło |
Wymaganie |
3. Powiązane normy
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