Team - I am lost and cannot figure out how and where to start with this. I wanted to check if someone from this forum can help.
Below table shows the input and the results i am looking for from the input.
Input: i have tenors and limits for each group. that is FX can trade up to 100 for 20months out.
Result: i am trying to figure out fungible limits for all three groups combined. so all 6 values under EE and 6 values under Tenor are derived based on my input. so in this example up to 15 months all three groups can trade out 15 months, and then 15 months bucket falls off then 15 to 20 months the FX and DPG has 500 limit and then dpg has 200 limit from 20-25 months. what formulas can i use to achieve these results.
Below table shows the input and the results i am looking for from the input.
Input: i have tenors and limits for each group. that is FX can trade up to 100 for 20months out.
Result: i am trying to figure out fungible limits for all three groups combined. so all 6 values under EE and 6 values under Tenor are derived based on my input. so in this example up to 15 months all three groups can trade out 15 months, and then 15 months bucket falls off then 15 to 20 months the FX and DPG has 500 limit and then dpg has 200 limit from 20-25 months. what formulas can i use to achieve these results.
| Input | |||
| A | B | C | |
| Tenor | EE Limit | ||
| 1 | FX | 20 | $100 |
| 2 | DPG | 25 | $200 |
| 3 | Commodities | 15 | $300 |
| Result | |||
| EE | |||
| All | $600 | ||
| FX + DPG | $500 | ||
| DPG | $200 | ||
| Tenor | |||
| Combined | 15 | ||
| FX + DPG | 15-20 Months | ||
| DPG | 20-25 Months |
