PRU A4.6.36

Past version: effective from 26/02/2020 - 25/02/2020
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SDi is determined in accordance with the following formula:

𝑆𝐷𝑖=exp(‐0.05𝑆𝑖)−exp(‐0.05𝐸𝑖)/0.05

where 𝑆𝑖 and 𝐸𝑖 are the start and end dates, respectively, of the time period referenced by the interest rate or credit derivative, floored by ten business days.